{"id":"https://openalex.org/W2004498032","doi":"https://doi.org/10.14490/jjss.35.205","title":"Bayesian Analysis of a Markov Switching Stochastic Volatility Model","display_name":"Bayesian Analysis of a Markov Switching Stochastic Volatility Model","publication_year":2005,"publication_date":"2005-01-01","ids":{"openalex":"https://openalex.org/W2004498032","doi":"https://doi.org/10.14490/jjss.35.205","mag":"2004498032"},"language":"en","primary_location":{"id":"doi:10.14490/jjss.35.205","doi":"https://doi.org/10.14490/jjss.35.205","is_oa":true,"landing_page_url":"https://doi.org/10.14490/jjss.35.205","pdf_url":"https://www.jstage.jst.go.jp/article/jjss/35/2/35_2_205/_pdf","source":{"id":"https://openalex.org/S4210181406","display_name":"JOURNAL OF THE JAPAN STATISTICAL SOCIETY","issn_l":"1348-6365","issn":["1348-6365","1882-2754"],"is_oa":true,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-c","anvur-scientific","cwts-core","jufo-1"],"host_organization":"https://openalex.org/P4310313328","host_organization_name":"Japan Statistical Society","host_organization_lineage":["https://openalex.org/P4310313328"],"host_organization_lineage_names":["Japan Statistical Society"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"JOURNAL OF THE JAPAN STATISTICAL SOCIETY","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"diamond","oa_url":"https://www.jstage.jst.go.jp/article/jjss/35/2/35_2_205/_pdf","any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5041410710","display_name":"Mai Shibata","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I47232531","display_name":"Bank of Japan","ror":"https://ror.org/04zmdqe71","country_code":"JP","type":"other","lineage":["https://openalex.org/I47232531"]}],"countries":["JP"],"is_corresponding":false,"raw_author_name":"Mai Shibata","raw_affiliation_strings":["Research Associate, Institute for Monetary and Economic Studies, Bank of Japan"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Research Associate, Institute for Monetary and Economic Studies, Bank of Japan","institution_ids":["https://openalex.org/I47232531"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5052915179","display_name":"Toshiaki Watanabe","orcid":"https://orcid.org/0000-0002-4342-4538","observed_orcids":["https://orcid.org/0000-0002-4342-4538"]},"institutions":[{"id":"https://openalex.org/I47232531","display_name":"Bank of Japan","ror":"https://ror.org/04zmdqe71","country_code":"JP","type":"other","lineage":["https://openalex.org/I47232531"]}],"countries":["JP"],"is_corresponding":false,"raw_author_name":"Toshiaki Watanabe","raw_affiliation_strings":["Senior Fellow, Institute for Monetary and Economic Studies, Bank of Japan"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Senior Fellow, Institute for Monetary and Economic Studies, Bank of Japan","institution_ids":["https://openalex.org/I47232531"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":[],"corresponding_institution_ids":["https://openalex.org/I47232531"],"apc_list":null,"apc_paid":null,"fwci":0.5533,"has_fulltext":true,"cited_by_count":17,"citation_normalized_percentile":{"value":0.80537952,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":96},"biblio":{"volume":"35","issue":"2","first_page":"205","last_page":"219"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9970999956130981,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9970999956130981,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.0012000000569969416,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12056","display_name":"Markov Chains and Monte Carlo Methods","score":0.0008999999845400453,"subfield":{"id":"https://openalex.org/subfields/2613","display_name":"Statistics and Probability"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/particle-filtering","display_name":"particle filter","score":0.7279999852180481},{"id":"https://openalex.org/keywords/model-comparison","display_name":"model comparison","score":0.8349999785423279},{"id":"https://openalex.org/keywords/volatility-persistence","display_name":"volatility persistence","score":0.699999988079071},{"id":"https://openalex.org/keywords/error-variance","display_name":"error variance","score":0.6230000257492065},{"id":"https://openalex.org/keywords/model-diagnostics","display_name":"model diagnostics","score":0.5099999904632568},{"id":"https://openalex.org/keywords/bayesian-parameter-estimation","display_name":"Bayesian parameter estimation","score":0.593999981880188}],"concepts":[{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.8271034359931946},{"id":"https://openalex.org/C111350023","wikidata":"https://www.wikidata.org/wiki/Q1191869","display_name":"Markov chain Monte Carlo","level":3,"score":0.7771657705307007},{"id":"https://openalex.org/C52421305","wikidata":"https://www.wikidata.org/wiki/Q1151499","display_name":"Particle filter","level":3,"score":0.7385482788085938},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.7019794583320618},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6476179957389832},{"id":"https://openalex.org/C107673813","wikidata":"https://www.wikidata.org/wiki/Q812534","display_name":"Bayesian probability","level":2,"score":0.5467440485954285},{"id":"https://openalex.org/C98763669","wikidata":"https://www.wikidata.org/wiki/Q176645","display_name":"Markov chain","level":2,"score":0.5268834233283997},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.4808526635169983},{"id":"https://openalex.org/C160234255","wikidata":"https://www.wikidata.org/wiki/Q812535","display_name":"Bayesian inference","level":3,"score":0.4416687786579132},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.4393855631351471},{"id":"https://openalex.org/C93045229","wikidata":"https://www.wikidata.org/wiki/Q5746554","display_name":"Heston model","level":5,"score":0.4152681827545166},{"id":"https://openalex.org/C64133820","wikidata":"https://www.wikidata.org/wiki/Q5163651","display_name":"Constant elasticity of variance model","level":5,"score":0.4120532274246216},{"id":"https://openalex.org/C187625094","wikidata":"https://www.wikidata.org/wiki/Q7388452","display_name":"SABR volatility model","level":4,"score":0.363785058259964},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.3289450705051422},{"id":"https://openalex.org/C157286648","wikidata":"https://www.wikidata.org/wiki/Q846780","display_name":"Kalman filter","level":2,"score":0.17509064078330994}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.14490/jjss.35.205","doi":"https://doi.org/10.14490/jjss.35.205","is_oa":true,"landing_page_url":"https://doi.org/10.14490/jjss.35.205","pdf_url":"https://www.jstage.jst.go.jp/article/jjss/35/2/35_2_205/_pdf","source":{"id":"https://openalex.org/S4210181406","display_name":"JOURNAL OF THE JAPAN STATISTICAL SOCIETY","issn_l":"1348-6365","issn":["1348-6365","1882-2754"],"is_oa":true,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-c","anvur-scientific","cwts-core","jufo-1"],"host_organization":"https://openalex.org/P4310313328","host_organization_name":"Japan Statistical Society","host_organization_lineage":["https://openalex.org/P4310313328"],"host_organization_lineage_names":["Japan Statistical Society"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"JOURNAL OF THE JAPAN STATISTICAL SOCIETY","raw_type":"journal-article"},{"id":"pmh:oai:CiteSeerX.psu:10.1.1.543.5825","doi":null,"is_oa":false,"landing_page_url":"http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.543.5825","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"http://www.scipress.org/journals/jjss/pdf/3502/35020205.pdf","raw_type":"text"}],"best_oa_location":{"id":"doi:10.14490/jjss.35.205","doi":"https://doi.org/10.14490/jjss.35.205","is_oa":true,"landing_page_url":"https://doi.org/10.14490/jjss.35.205","pdf_url":"https://www.jstage.jst.go.jp/article/jjss/35/2/35_2_205/_pdf","source":{"id":"https://openalex.org/S4210181406","display_name":"JOURNAL OF THE JAPAN STATISTICAL SOCIETY","issn_l":"1348-6365","issn":["1348-6365","1882-2754"],"is_oa":true,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-c","anvur-scientific","cwts-core","jufo-1"],"host_organization":"https://openalex.org/P4310313328","host_organization_name":"Japan Statistical Society","host_organization_lineage":["https://openalex.org/P4310313328"],"host_organization_lineage_names":["Japan Statistical Society"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"JOURNAL OF THE JAPAN STATISTICAL SOCIETY","raw_type":"journal-article"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[{"id":"https://openalex.org/F4320320912","display_name":"Ministry of Education, Culture, Sports, Science and Technology","ror":"https://ror.org/048rj2z13"},{"id":"https://openalex.org/F4320334764","display_name":"Japan Society for the Promotion of Science","ror":"https://ror.org/00hhkn466"}],"has_content":{"grobid_xml":true,"pdf":true},"content_urls":{"pdf":"https://content.openalex.org/works/W2004498032.pdf","grobid_xml":"https://content.openalex.org/works/W2004498032.grobid-xml"},"referenced_works_count":32,"referenced_works":["https://openalex.org/W585803858","https://openalex.org/W1502286138","https://openalex.org/W1628017834","https://openalex.org/W1995565517","https://openalex.org/W2008205728","https://openalex.org/W2015749074","https://openalex.org/W2020481066","https://openalex.org/W2025262040","https://openalex.org/W2027445478","https://openalex.org/W2033465281","https://openalex.org/W2039282896","https://openalex.org/W2051564300","https://openalex.org/W2054038204","https://openalex.org/W2074812030","https://openalex.org/W2079672223","https://openalex.org/W2099647580","https://openalex.org/W2104183716","https://openalex.org/W2106038542","https://openalex.org/W2112286389","https://openalex.org/W2117999380","https://openalex.org/W2121448470","https://openalex.org/W2125996678","https://openalex.org/W2128738261","https://openalex.org/W2131598171","https://openalex.org/W2136796925","https://openalex.org/W2157895285","https://openalex.org/W2164070899","https://openalex.org/W2166536772","https://openalex.org/W2170621196","https://openalex.org/W3124264635","https://openalex.org/W3124642734","https://openalex.org/W4246950982"],"related_works":["https://openalex.org/W7020536493","https://openalex.org/W2099546809","https://openalex.org/W3152092661","https://openalex.org/W1514120799","https://openalex.org/W2389772972","https://openalex.org/W7096909740","https://openalex.org/W1548253476","https://openalex.org/W122326577","https://openalex.org/W756911913","https://openalex.org/W4251281949"],"abstract_inverted_index":{"This":[0],"article":[1],"analyzes":[2],"a":[3,36],"Markov":[4],"switching":[5],"stochastic":[6],"volatility":[7,96],"(MSSV)":[8],"model":[9,29,56,101,111,118,133,150],"to":[10,23,103],"accommodate":[11],"the":[12,15,25,32,49,70,73,79,82,87,90,95,99,106,116,122,131,135,140,144,148],"shift":[13],"in":[14,27,94],"mean":[16],"of":[17,69,81,89,98,105],"log-volatility.":[18],"Since":[19],"it":[20],"is":[21,43,53,60,119,127],"difficult":[22],"estimate":[24,80,88],"parameters":[26],"this":[28],"based":[30,65,138],"on":[31,66,139],"maximum":[33],"likelihood":[34],"method,":[35],"Bayesian":[37],"Markov-chain":[38],"Monte":[39],"Carlo":[40],"(MCMC)":[41],"approach":[42],"adopted.":[44],"A":[45],"particle":[46,145],"filter":[47,146],"for":[48,55],"MSSV":[50,100,117,132],"model,":[51],"which":[52],"used":[54],"comparison":[57,112],"and":[58,86],"diagnostics,":[59],"constructed.":[61],"The":[62,110],"estimation":[63],"result,":[64],"weekly":[67],"returns":[68],"TOPIX,":[71],"confirms":[72],"finding":[74],"by":[75],"previous":[76],"researchers":[77],"that":[78,115,130],"persistence":[83],"parameter":[84],"drops":[85],"error":[91],"variance":[92],"rises":[93],"equation":[97],"compared":[102],"those":[104],"standard":[107,123],"SV":[108,124,149],"model.":[109,125],"provides":[113],"evidence":[114],"favored":[120],"over":[121],"It":[126],"also":[128],"found":[129],"passes":[134],"diagnostic":[136],"tests":[137],"statistics":[141],"obtained":[142],"from":[143],"while":[147],"does":[151],"not.":[152]},"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2019,"cited_by_count":1},{"year":2017,"cited_by_count":1},{"year":2016,"cited_by_count":1},{"year":2015,"cited_by_count":1},{"year":2014,"cited_by_count":2},{"year":2012,"cited_by_count":1}],"updated_date":"2026-11-04T10:54:05.112534","created_date":"2016-06-24T00:00:00"}
