Approximate Bayesian estimation of stochastic volatility in mean models using hidden Markov models : empirical evidence from emerging and developed markets

Carlos A. Abanto-Valle, Gabriel Rodríguez, Luis M. Castro Cepero, Hernán B. Garrafa-Aragón

Year of publication:	2024
Authors:	Abanto-Valle, Carlos A. ; Rodriguez, Gabriel ; Castro Cepero, Luis M. ; Garrafa-Aragón, Hernán B.
Subject:	Feed-back effect \| Hamiltonian Monte Carlo \| Hidden Markov Models \| Non linear state space models \| Riemannian Manifold Hamiltonian Monte Carlo \| Stochastic volatility in mean \| Stock Latin American markets \| Markov-Kette \| Markov chain \| Volatilität \| Volatility \| Monte-Carlo-Simulation \| Monte Carlo simulation \| Stochastischer Prozess \| Stochastic process \| Theorie \| Theory \| Zustandsraummodell \| State space model \| Bayes-Statistik \| Bayesian inference \| Börsenkurs \| Share price \| ARCH-Modell \| ARCH model \| Kapitaleinkommen \| Capital income

Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	10.1007/s10614-023-10490-4 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015143955