Approximate Bayesian estimation of stochastic volatility in mean models using Hidden Markov Models: empirical evidence from stock Latin American markets
Year of publication: |
octubre, 2021 ; Primera edición
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Authors: | Abanto-Valle, Carlos A. ; Rodriguez, Gabriel ; Castro Cepero, Luis M. ; Garrafa-Aragón, Hernán B. |
Publisher: |
Lima, Perú : Departamento de Economía, Pontificia Universidad Católica del Perú |
Subject: | Stock Latin American Markets | Stochastic Volatility in Mean | Feed-Back Effect | HamiltonianMonte Carlo | Hidden Markov Models | Riemannian Manifold Hamiltonian Monte Carlo | Non Linear State SpaceModels | Theorie | Theory | Volatilität | Volatility | Markov-Kette | Markov chain | Stochastischer Prozess | Stochastic process | Lateinamerika | Latin America | Bayes-Statistik | Bayesian inference | Börsenkurs | Share price | ARCH-Modell | ARCH model | Monte-Carlo-Simulation | Monte Carlo simulation |
Extent: | 1 Online-Ressource (circa 33 Seiten) Illustrationen |
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Series: | Documento de trabajo. - Lima, Perú : Departamento de Economía, ZDB-ID 2405751-4. - Vol. no 502 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
Language: | English |
Other identifiers: | 10.18800/2079-8474.0502 [DOI] hdl:123456789/182549 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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