- The Oxford Handbook of Computational Economics and Finance
- Contents
- List of Contributors
- Computational Economics in the Era of Natural Computationalism: Fifty Years after The Theory of Self-Reproducing Automata
- Dynamic Stochastic General Equilibrium Models: A Computational Perspective
- Tax-Rate Rules for Reducing Government Debt: An Application of Computational Methods for Macroeconomic Stabilization
- Solving Rational Expectations Models
- Computable General Equilibrium Models for Policy Evaluation and Economic Consequence Analysis
- Multifractal Models in Finance: Their Origin, Properties, and Applications
- Particle Filters for Markov-Switching Stochastic Volatility Models
- Economic and Financial Modeling with Genetic Programming: A Review
- Algorithmic Trading based on Biologically Inspired Algorithms
- Algorithmic Trading in Practice
- Computational Spatiotemporal Modeling of Southern California Home Prices
- Business Applications of Fuzzy Logic
- Modeling of Desirable Socioeconomic Networks
- Computational Models of Financial Networks, Risk, and Regulatory Policies
- From Minority Games to $-Games
- An Overview and Evaluation of the Cat Market Design Competition
- Agent-Based Macroeconomic Modeling and Policy Analysis: The Eurace@ Unibi Model
- Agent-Based Models for Economic Policy Design: Two Illustrative Examples
- Computational Economic Modeling of Migration
- Computational Industrial Economics: A Generative Approach to Dynamic Analysis in Industrial Organization
- Agent-based Modeling for Financial Markets
- Agent-Based Models of the Labor Market
- The Emerging Standard Neurobiological Model of Decision Making: Strengths, Weaknesses, and Future Directions
- The Epistemology of Simulation, Computation, and Dynamics in Economics
- Index
Abstract and Keywords
This chapter proposes an auxiliary particle filter algorithm for inference in regime switching stochastic volatility models in which the regime state is governed by a first-order Markov chain. It proposes an ongoing updated Dirichlet distribution to estimate the transition probabilities of the Markov chain in the auxiliary particle filter. A simulation-based algorithm is presented for the method that demonstrates the ability to estimate a class of models in which the probability that the system state transits from one regime to a different regime is relatively high. The methodology is implemented in order to analyze a real-time series, namely, the foreign exchange rate between the Australian dollar and the South Korean won.
Keywords: auxiliary particle filter, stochastic volatility, regime switching, sequential importance sampling, effective sample size
Yun Bao, Toyota Financial Services, Sydney, Australia
Carl Chiarella Finance Discipline Group, UTS Business School, the University of Technology, Sydney, Australia
Boda Kang Department of Mathematics, University of York, Heslington, York, UK
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- The Oxford Handbook of Computational Economics and Finance
- Contents
- List of Contributors
- Computational Economics in the Era of Natural Computationalism: Fifty Years after The Theory of Self-Reproducing Automata
- Dynamic Stochastic General Equilibrium Models: A Computational Perspective
- Tax-Rate Rules for Reducing Government Debt: An Application of Computational Methods for Macroeconomic Stabilization
- Solving Rational Expectations Models
- Computable General Equilibrium Models for Policy Evaluation and Economic Consequence Analysis
- Multifractal Models in Finance: Their Origin, Properties, and Applications
- Particle Filters for Markov-Switching Stochastic Volatility Models
- Economic and Financial Modeling with Genetic Programming: A Review
- Algorithmic Trading based on Biologically Inspired Algorithms
- Algorithmic Trading in Practice
- Computational Spatiotemporal Modeling of Southern California Home Prices
- Business Applications of Fuzzy Logic
- Modeling of Desirable Socioeconomic Networks
- Computational Models of Financial Networks, Risk, and Regulatory Policies
- From Minority Games to $-Games
- An Overview and Evaluation of the Cat Market Design Competition
- Agent-Based Macroeconomic Modeling and Policy Analysis: The Eurace@ Unibi Model
- Agent-Based Models for Economic Policy Design: Two Illustrative Examples
- Computational Economic Modeling of Migration
- Computational Industrial Economics: A Generative Approach to Dynamic Analysis in Industrial Organization
- Agent-based Modeling for Financial Markets
- Agent-Based Models of the Labor Market
- The Emerging Standard Neurobiological Model of Decision Making: Strengths, Weaknesses, and Future Directions
- The Epistemology of Simulation, Computation, and Dynamics in Economics
- Index
