Bayesian analysis of moving average stochastic volatility models : modeling in-mean effects and leverage for financial time series
Stefanos Dimitrakopoulos and Michalis Kolossiatis
| Year of publication: |
2020
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|---|---|
| Authors: | Dimitrakopoulos, Stefanos ; Kolossiatis, Michalis |
| Published in: |
Econometric reviews. - Philadelphia, Pa. : Taylor & Francis, ISSN 1532-4168, ZDB-ID 2041746-9. - Vol. 39.2020, 4, p. 319-343
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| Subject: | In-mean effects | leverage | Markov chain Monte Carlo | moving average | stochastic volatility | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Markov-Kette | Markov chain | Monte-Carlo-Simulation | Monte Carlo simulation | Theorie | Theory | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis | Modellierung | Scientific modelling | Bayes-Statistik | Bayesian inference | Finanzmarkt | Financial market |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07474938.2019.1630075 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012181420