Gibbs-sampling method is exploited to provide a unified, practical likelihood based framework for the analysis of stochastic volatility models. We use Gibbs sampling to estimate the posterior distribution of stock returns. Based on the estimated posterior distribution, risk indices such as VaR(Value at Risk) and C-VaR(Conditional Value at Risk) of stock returns can be calculated.
타이거 세미나
| 제목 | 국문발표 20170704 In Bayesian framework, Stochastic Volatility Model using Gibbs Sampling 윤인한 |
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BK세미나(20170704 윤인한).pptx
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