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
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|---|---|
| Authors: | Abanto-Valle, Carlos A. ; Rodriguez, Gabriel ; Castro Cepero, Luis M. ; Garrafa-Aragón, Hernán B. |
| Published in: |
Computational economics. - Dordrecht [u.a.] : Springer Science + Business Media B.V., ISSN 1572-9974, ZDB-ID 1477445-8. - Vol. 64.2024, 3, p. 1775-1801
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| 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://www.econbiz.de/10015143955