Bayesian Analysis of Realized Matrix-Exponential GARCH Models
Year of publication: |
2018
|
---|---|
Authors: | Asai, Manabu |
Other Persons: | McAleer, Michael (contributor) |
Publisher: |
[2018]: [S.l.] : SSRN |
Subject: | Monte-Carlo-Simulation | Monte Carlo simulation | Bayes-Statistik | Bayesian inference | Markov-Kette | Markov chain | Volatilität | Volatility | Kapitalmarktrendite | Capital market returns | Baumwollmarkt | Cotton market | Zeitreihenanalyse | Time series analysis |
Extent: | 1 Online-Ressource (29 p) |
---|---|
Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 17, 2018 erstellt |
Other identifiers: | 10.2139/ssrn.3103810 [DOI] |
Classification: | C11 - Bayesian Analysis ; C32 - Time-Series Models |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Bayesian analysis of realized matrix-exponential GARCH models
Asai, Manabu, (2018)
-
Bayesian analysis of bubbles in asset prices
Fulop, Andras, (2017)
-
Monitoring multicountry macroeconomic risk
Korobilis, Dimitris, (2023)
- More ...
-
Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing
Asai, Manabu, (2013)
-
Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models
Asai, Manabu, (2013)
-
The Impact of Jumps and Leverage in Forecasting Co-Volatility
Asai, Manabu, (2015)
- More ...