A COMPARATIVE STUDY OF BAYESIAN AND MAXIMUM LIKELIHOOD APPROACHES FOR ARCH MODELS WITH EVIDENCE FROM BRAZILIAN FINANCIAL SERIES
Year of publication: |
2011
|
---|---|
Authors: | ANDRADE, MARINHO G. ; OLIVEIRA, SANDRA C. |
Published in: |
New Mathematics and Natural Computation (NMNC). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-7027. - Vol. 07.2011, 02, p. 347-361
|
Publisher: |
World Scientific Publishing Co. Pte. Ltd. |
Subject: | ARCH models | bootstrap and MCMC methods | financial time series |
-
Heavy-tailed value-at-risk analysis for Malaysian stock exchange
Chin, Wen Cheong, (2008)
-
Semiparametric estimation of the intensity of long memory in conditional heteroskedasticity
Giraitis, Liudas, (1999)
-
Brüggemann, Imke, (1997)
- More ...
-
Power series generalized nonlinear models
Cordeiro, Gauss M., (2009)
-
Cancho, Vicente G., (2011)
- More ...