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This paper conducts simulation-based comparison of several stochastic volatility models with leverage effects. Two new variants of asymmetric stochastic volatility models, which are subject to a logarithmic transformation on the squared asset returns, are proposed. The leverage effect is introduced into the model through correlation either between the innovations of the observation equation and the latent process, or between the logarithm of squared asset returns and the latent process. Suitable Markov Chain Monte Carlo algorithms are developed for parameter estimation and model comparison. Simulation results show that our proposed formulation of the leverage effect and the accompanying inference methods give rise to reasonable parameter estimates. Applications to two data sets uncover a negative correlation (which can be interpreted as a leverage effect) between the observed returns and volatilities, and a negative correlation between the logarithm of squared returns and volatilities. [ABSTRACT FROM AUTHOR]

This article focuses on simulation-based inference for the time-deformation models directed by a duration process. In order to better capture the heavy tail property of the time series of financial asset returns, the innovation of the observation equation is subsequently assumed to have a Student-tdistribution. Suitable Markov chain Monte Carlo (MCMC) algorithms, which are hybrids of Gibbs and slice samplers, are proposed for estimation of the parameters of these models. In the algorithms, the parameters of the models can be sampled either directly from known distributions or through an efficient slice sampler. The states are simulated one at a time by using a Metropolis-Hastings method, where the proposal distributions are sampled through a slice sampler. Simulation studies conducted in this article suggest that our extended models and accompanying MCMC algorithms work well in terms of parameter estimation and volatility forecast. [ABSTRACT FROM AUTHOR]

This paper extends stochastic conditional duration (SCD) models for financial transaction data to allow for correlation between error processes and innovations of observed duration process and latent log duration process. Suitable algorithms of Markov Chain Monte Carlo (MCMC) are developed to fit the resulting SCD models under various distributional assumptions about the innovation of the measurement equation. Unlike the estimation methods commonly used to estimate the SCD models in the literature, we work with the original specification of the model, without subjecting the observation equation to a logarithmic transformation. Results of simulation studies suggest that our proposed models and corresponding estimation methodology perform quite well. We also apply an auxiliary particle filter technique to construct one-step-ahead in-sample and out-of-sample duration forecasts of the fitted models. Applications to the IBM transaction data allow comparison of our models and methods to those existing in the literature. [ABSTRACT FROM PUBLISHER]

An ensemble of mixture density neural networks is used for short-term wind speed and power forecasting. Predicted wind speeds obtained from a numerical weather prediction model are used as the input data for the mixture density network, whose outputs are the mixture density parameters (used to represent the probability density function of the uncertain output or target variable). All mixture density neural networks in an ensemble are assumed to have a three-layer architecture, with each architecture having different numbers of nodes in the hidden layer. Because a mixture of Gaussian distributions is used to approximate the conditional distribution of the target random variable (either wind speed or wind turbine power), the uncertainties arising from both the model structure and model output can be completely quantified. In consequence, rigorous confidence intervals reflecting these sources of uncertainty in the prediction can be obtained and used to assess the performance for the wind speed and wind turbine power forecasting. An application of the proposed approach to a data set of the measured wind speed and power from an operational wind turbine in a wind farm in Taiwan is used to test the methodology. The results of this application demonstrate that the proposed methodology works well for the multi-step ahead wind speed and power forecasting. [ABSTRACT FROM AUTHOR]