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A stochastic volatility model and in...

North Carolina State University.

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A stochastic volatility model and inference for the term structure of interest rates.

Record Type:	Language materials, printed : Monograph/item
Title/Author:	A stochastic volatility model and inference for the term structure of interest rates./
Author:	Liu, Peng.
Description:	102 p.
Notes:	Adviser: Peter Bloomfield.
Contained By:	Dissertation Abstracts International68-06B.
Subject:	Economics, Finance. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3269422
ISBN:	9780549077152

A stochastic volatility model and inference for the term structure of interest rates.
Liu, Peng.

A stochastic volatility model and inference for the term structure of interest rates. - 102 p.

Adviser: Peter Bloomfield.

Thesis (Ph.D.)--North Carolina State University, 2007.

This thesis builds a stochastic volatility model for the term structure of interest rates, which is also known as the dynamics of the yield curve. The main purpose of the model is to propose a parsimonious and plausible approach to capture some characteristics that conform to some empirical evidence and conventions. Eventually, the development reaches a class of multivariate stochastic volatility models, which is flexible, extensible, providing the existence of an inexpensive inference approach.

ISBN: 9780549077152Subjects--Topical Terms:

626650
Economics, Finance.

A stochastic volatility model and inference for the term structure of interest rates.
LDR:02809nam 2200301 a 45 001 856127
005 20100708
008 100708s2007 eng d
020 $a 9780549077152
035 $a (UMI)AAI3269422
035 $a AAI3269422
040 $a UMI $c UMI
100 1 $a Liu, Peng. $3 1005586
245 1 2 $a A stochastic volatility model and inference for the term structure of interest rates.
300 $a 102 p.
500 $a Adviser: Peter Bloomfield.
500 $a Source: Dissertation Abstracts International, Volume: 68-06, Section: B, page: 3877.
502 $a Thesis (Ph.D.)--North Carolina State University, 2007.
520 $a This thesis builds a stochastic volatility model for the term structure of interest rates, which is also known as the dynamics of the yield curve. The main purpose of the model is to propose a parsimonious and plausible approach to capture some characteristics that conform to some empirical evidence and conventions. Eventually, the development reaches a class of multivariate stochastic volatility models, which is flexible, extensible, providing the existence of an inexpensive inference approach.
520 $a The thesis points out some inconsistency among conventions and practice. First, yield curves and their related curves are conventionally smooth. But in the literature these curves are modeled as random functions, and the co-movement of points on the curve are usually assumed to be governed by some covariance structures that do not generate smooth random curves. Second, it is commonly agreed that constant volatility is not a sound assumption, but stochastic volatilities have not been commonly considered in related studies.
520 $a Regarding the above problems, we propose a multiplicative factor stochastic volatility model, which has a relatively simple structure. Though it is apparently simple, the inference is not, because of the presence of stochastic volatilities. We first study the sequential-Monte-Carlo-based maximum likelihood approach, which extends the perspectives of Gaussian linear state-space modeling. We propose a systematic procedure that guides the inference based on this approach. In addition, we also propose a saddlepoint approximation approach, which integrates out states. Then the state propagates by an exact Gaussian approximation. The approximation works reasonably well for univariate models. Moreover, it works even better for the multivariate model that we propose, because we can enjoy the asymptotic property of the saddlepoint approximation.
590 $a School code: 0155.
650 4 $a Economics, Finance. $3 626650
650 4 $a Statistics. $3 517247
690 $a 0463
690 $a 0508
710 2 0 $a North Carolina State University. $3 1018772
773 0 $t Dissertation Abstracts International $g 68-06B.
790 $a 0155
790 1 0 $a Bloomfield, Peter, $e advisor
791 $a Ph.D.
792 $a 2007
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3269422