Jouchi Nakajima

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 Program - Stochastic Volatility (SV) model

  Source codes of Markov chain Monte Carlo methods for SV model

  [Reference]
   - Kim, Chib and Shephard (1998), Review of Economic Studies. (KCS)
   - Omori, Chib, Shephard and Nakajima (2007), Journal of Econometrics. (OCSN)


 SVPACK - Mixture sampler for SV model without leverage

   svmcmc.ox - Main code of KCS's mixture sampler

   parmix10.xls - Parameters for normal mixture (OCSN's ten components)

   topix-9802.xls - TOPIX daily price data for 1998-2002

   svsim.ox - Code for generating observation from SV model


 ASVPACK - Mixture sampler for (Asymmetric) SV model with leverage

   ASV.ox - Class file of OCSN's mixture sampler

   ASV.h - Header file for ASV class

   parmix10.xls - Parameters for normal mixture (OCSN's ten components)

   topix-9802.xls - TOPIX daily price data for 1998-2002

   asv_data.ox - Example for ASV class for empirical analysis with TOPIX return

   asv_sim.ox - Example for ASV class for simulation analysis