标题:The application of improved Markov Chain Monte Carlo method in liquidity management of commercial banks
作者:Liu, Ning; Liu, Jing; Huang, Qi
作者机构:[Liu, Ning; Liu, Jing] Shandong Univ Finance & Econ, Sch Int Econ & Trade, Jinan 250014, Peoples R China.; [Huang, Qi] Shandong Univ, Sch Econ, Jina 更多
通讯作者:Liu, Ning
通讯作者地址:[Liu, N]Shandong Univ Finance & Econ, Sch Int Econ & Trade, Jinan 250014, Peoples R China.
来源:JOURNAL OF INTELLIGENT & FUZZY SYSTEMS
出版年:2014
卷:27
期:3
页码:1285-1296
DOI:10.3233/IFS-131096
关键词:Asymmetric stochastic volatility model; MCMC estimation; FFBS algorithm
摘要:This paper proposes an improved Markov Chain Monte Carlo (MCMC) estimation method. First, it introduces improved Markov Chain Monte Carlo estimation method, then uses extended Kalman filter to approximate the nonlinear transfer equation, and ultimately completes the estimation of the redefined asymmetric SV model combining with the forward filtering and backward sampling algorithm. The experimental results indicate that the new algorithm has a faster convergence rate. Finally, this improved MCMC method of asymmetric SV model is applied to the liquidity management of commercial banks. The fitting results not only illustrate its efficiency and accuracy, but also show the empirical evidence of leverage effect.
收录类别:EI;SCOPUS;SCIE;SSCI
资源类型:期刊论文
原文链接:https://www.scopus.com/inward/record.uri?eid=2-s2.0-84907009536&doi=10.3233%2fIFS-131096&partnerID=40&md5=f442a9844b1bac40b7caafd9ebfed368
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