Estimation of hyperbolic diffusion using the Markov chain Monte Carlo method
提出一种基于马尔可夫链蒙特卡洛的贝叶斯方法来估计双曲扩散模型，模拟显示该模型能再现资产收益的典型特征，如泰勒效应、平方收益的自相关缓慢衰减和厚尾分布。
In this paper we propose a Bayesian method to estimate the hyperbolic diffusion model. The approach is based on the Markov chain Monte Carlo (MCMC) method with the likelihood of the discretized process as the approximate posterior likelihood. We demonstrate that the MCMC method Provides a useful tool in analysing hyperbolic diffusions. In particular, quantities of posterior distributions obtained from the MCMC outputs can be used for statistical inference. The MCMC method based on the Milstein scheme is unsatisfactory. Our simulation study shows that the hyperbolic diffusion exhibits many of the stylized facts about asset returns documented in the discrete-time financial econometrics literature, such as the Taylor effect, a slowly declining autocorrelation function of the squared returns, and thick tails.