This dissertation studies volatility measurement and modeling issues when asset prices are subject to price limits based on Bayesian approaches. Two types of estimators are developed to consistently estimate integrated volatility in the presence of price limits. One is a realized volatility type estimator, but using both realized asset prices and simulated asset prices. The other is a discrete sample analogue of integrated volatility using posterior samples of the latent volatility states. These two types of estimators are first constructed based on the simple log-stochastic volatility model in Chapter 2. The simple log-stochastic volatility framework is extended in Chapter 3 to incorporate correlated innovations and further extended in Chapter 4 to accommodate jumps and fat-tailed innovations. For each framework, a MCMC algorithm is designed to simulate the unobserved asset prices, model parameters and latent states. Performances of both type estimators are also examined using simulations under each framework. Applications to Chinese stock markets are also provided. / Thesis (Ph.D, Economics) -- Queen's University, 2014-01-22 10:29:12.507
| Identifer | oai:union.ndltd.org:LACETR/oai:collectionscanada.gc.ca:OKQ.1974/8576 |
| Date | 22 January 2014 |
| Creators | Gao, RUI |
| Contributors | Queen's University (Kingston, Ont.). Theses (Queen's University (Kingston, Ont.)) |
| Source Sets | Library and Archives Canada ETDs Repository / Centre d'archives des thèses électroniques de Bibliothèque et Archives Canada |
| Language | English, English |
| Detected Language | English |
| Type | Thesis |
| Rights | This publication is made available by the authority of the copyright owner solely for the purpose of private study and research and may not be copied or reproduced except as permitted by the copyright laws without written authority from the copyright owner. |
| Relation | Canadian theses |
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