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Full-Text Articles in Social and Behavioral Sciences
Estimation Of Hyperbolic Diffusion Using Mcmc Method, Yiu Kuen Tse, Jun Yu, X. B. Chang
Estimation Of Hyperbolic Diffusion Using Mcmc Method, Yiu Kuen Tse, Jun Yu, X. B. Chang
Research Collection School of Economics
In this paper we propose a Bayesian method for estimating hyperbolic diffusion models. The approach is based on the Markov Chain Monte Carlo (MCMC) method after discretization via the Milstein scheme. Our simulation study shows that the hyperbolic diffusion exhibits many of the stylized facts about asset returns documented in the financial econometrics literature, such as a slowly declining autocorrelation function of absolute returns. We demonstrate that the MCMC method provides a useful tool to analyze hyperbolic diffusions. In particular, quantities of posterior distributions obtained from MCMC outputs can be used for statistical inferences
Structural Change And Lead-Lag Relationship Between The Nikkei Spot Index And Futures Price: A Genetic Programming Approach, Donald Lien, Yiu Kuen Tse, X. B. Chang
Structural Change And Lead-Lag Relationship Between The Nikkei Spot Index And Futures Price: A Genetic Programming Approach, Donald Lien, Yiu Kuen Tse, X. B. Chang
Research Collection School of Economics
In this paper we adopt a nonparametric genetic programming approach to identify the structural changes in the Nikkei spot index and futures price. Due to the dominance of the “normal” period in sample size, the lead-lag relationship identified in the spot-futures system based on conventional methods such as test for Granger causality pertains to the normal period and may not be applicable in the “extreme” period. Using genetic programming we identify the lead-lag relationship based on the chronological ordering of the structural changes in the spot and futures markets. Our results show that in recent periods, major market changes originated …