• DocumentCode
    3579798
  • Title

    The Leverage Effect and Fat-Tails in China´s Futures Market: A Bayesian Analysis of Stochastic Volatility Models

  • Author

    Guozhi An ; Lanjun Lao

  • Author_Institution
    Dept. of Manage. Sci., Fudan Univ., Shanghai, China
  • Volume
    1
  • fYear
    2014
  • Firstpage
    120
  • Lastpage
    123
  • Abstract
    Under the background that China is about to launch options on futures trading, we investigate quantitatively the leverage effect and the degree of fat-tails in China´s futures market in a Bayesian approach by using the tochastic volatility models. To estimate the parameters of the models, Markov Chain Monte Carlo (MCMC) method and Gibbs sampling are applied.
  • Keywords
    Bayes methods; Markov processes; Monte Carlo methods; sampling methods; stock markets; Bayesian approach; China; Gibbs sampling; MCMC method; Markov chain Monte Carlo method; futures market; futures trading; stochastic volatility models; Analytical models; Bayes methods; Biological system modeling; Copper; Indexes; Markov processes; Bayesian; China´s Futures Market; MCMC; fat-tails; leverage effect; stochastic volatility models;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Computational Intelligence and Design (ISCID), 2014 Seventh International Symposium on
  • Print_ISBN
    978-1-4799-7004-9
  • Type

    conf

  • DOI
    10.1109/ISCID.2014.163
  • Filename
    7064154
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=3579798