Title :
MCMC Algorithm and Simulation of a Class of Jump VaR Estimation
Author :
Wang, Jingyong ; Xue, Lida
Author_Institution :
Econ. & Trade Dept., TongLing Univ., Tongling, China
Abstract :
This paper develops a class of jump stochastic volatility threshold model of VaR Estimation from a Bayesian viewpoint. Bayesian inferences of the unknown parameters are obtained with respect to a subjective prior distribution via Markov chain Monte Carlo(MCMC) method, MCMC algorithm and the value at risk(VaR) predictive are also developed. Based on simulation, if the jump is not Considered, the value at risk is overestimated. The precision of value at risk estimation is increased.
Keywords :
Markov processes; Monte Carlo methods; belief networks; financial management; risk management; stochastic programming; Bayesian inference; MCMC Algorithm; Markov chain Monte Carlo method; VaR Estimation; jump stochastic volatility threshold model; value at risk; Approximation methods; Bayesian methods; Biological system modeling; Density functional theory; Estimation; Markov processes;
Conference_Titel :
E-Product E-Service and E-Entertainment (ICEEE), 2010 International Conference on
Conference_Location :
Henan
Print_ISBN :
978-1-4244-7159-1
DOI :
10.1109/ICEEE.2010.5660186
