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
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;
Conference_Titel :
Computational Intelligence and Design (ISCID), 2014 Seventh International Symposium on
Print_ISBN :
978-1-4799-7004-9
DOI :
10.1109/ISCID.2014.163
