The risk-return relationship and volatility feedback in South Africa : a comparative analysis of the parametric and nonparametric Bayesian approach
Year of publication: |
2023
|
---|---|
Authors: | Dwarika, Nitesha |
Published in: |
Quantitative finance and economics. - [Springfield, Mo.] : AIMS Press, ISSN 2573-0134, ZDB-ID 2937262-8. - Vol. 7.2023, 1, p. 119-146
|
Subject: | risk-return relationship | volatility feedback | Bayesian approach | parametric model | infinite-mixture model | model free | higher moment properties | asymmetry | nonparametric model | Volatilität | Volatility | Nichtparametrisches Verfahren | Nonparametric statistics | Bayes-Statistik | Bayesian inference | Kapitaleinkommen | Capital income | Südafrika | South Africa | ARCH-Modell | ARCH model | Schätzung | Estimation | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | Risiko | Risk |
-
Bayesian estimation for high-frequency volatility models in a time deformed framework
Santos, Antonio A. F., (2021)
-
Vafiadis, Nikolaos, (2015)
-
Correlated idiosyncratic volatility shocks
Qiao, Xiao, (2021)
- More ...
-
Volatility dynamics and the risk-return relationship in South Africa : a GARCH approach
Dwarika, Nitesha, (2021)
- More ...