Jouchi Nakajima

Overview

Jouchi Nakajima was a graduate researcher in the Graduate School of Economics at the University of Tokyo at the time of his co-authorship of Omori, Chib, Shephard, and Nakajima (2007), which extended the Kim-Shephard-Chib (1998) multi-move MCMC sampler to SV models with leverage via a 10-component bivariate Gaussian mixture approximation for the joint density of log-squared return and volatility innovations.

Key Contributions

• Omori-Chib-Shephard-Nakajima (2007): Co-authored with Yasuhiro Omori, Siddhartha Chib, and Neil Shephard; 10-component bivariate mixture enables the Gaussian simulation smoother to jointly sample the full log-volatility path even when $\rho \neq 0$; importance reweighting recovers exact inference; TOPIX empirical application with $\hat\phi = 0.951$, $\hat\rho = -0.362$, and log Bayes factor $\approx 2.24$ decisively in favor of leverage. See Stochastic Volatility and Omori-Chib-Shephard-Nakajima (2007).

Related

• Stochastic Volatility
• Yasuhiro Omori
• Siddhartha Chib
• Neil Shephard
• Omori-Chib-Shephard-Nakajima (2007)