Bayesian estimation of stochastic tail index from high-frequency financial data

Osman Doğan, Süleyman Taşpınar, Anil K. Bera

Year of publication:	2021
Authors:	Doğan, Osman ; Taṣpınar, Süleyman ; Bera, Anil K.
Published in:	Empirical economics : a quarterly journal of the Institute for Advanced Studies. - Berlin : Springer, ISSN 1435-8921, ZDB-ID 1462176-9. - Vol. 61.2021, 5, p. 2685-2711
Subject:	Stochastic tail index models \| Stochastic volatility models \| Extreme values \| Extreme value theory \| Tail index \| Bayesian inference \| MCMC \| DIC \| High-frequency data \| Bayes-Statistik \| Ausreißer \| Outliers \| Statistische Verteilung \| Statistical distribution \| Aktienindex \| Stock index \| Stochastischer Prozess \| Stochastic process \| Volatilität \| Volatility \| Wahrscheinlichkeitsrechnung \| Probability theory \| Risikomaß \| Risk measure \| Schätztheorie \| Estimation theory \| Monte-Carlo-Simulation \| Monte Carlo simulation \| Index \| Index number \| Schätzung \| Estimation \| Zeitreihenanalyse \| Time series analysis

Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	10.1007/s00181-020-01969-2 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

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