文章基本信息

标题：Asymmetric stochastic Volatility models and Multicriteria Decision Methods in Finance
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作者：García Centeno, María del Carmen ; Mínguez Salido, Román
期刊名称：AESTIMATIO : the IEB International Journal of Finance
印刷版ISSN：2173-0164
出版年度：2011
期号：3
页码：2-23
出版社：Instituto de Estudios Bursátiles
摘要：In order to make a decision in any given context, it is necessary to have as much infor- mation as possible. For this reason, the objective of this paper is to choose a method, the most objectively possible, to establish an order of preferences between different stock index returns using all available statistical and econometrical information. The TGARCH(1,1) and TA-ARSV(1) are models estimated to obtain the econometrical information. This information is evaluated using discrete multicriteria decision methods such as PROMETHEE Methods, with the aim of obtaining a ranking of preferences be- tween the different Stock Market Indexes in several scenarios. The different scenarios proposed show that the results obtained in the complete ranking of the different fi- nancial returns are robust.
关键词：TGARCH model; TA-ARSV model; Stochastic volatility; Discrete multicriteria ; methods.