Bayesian estimation of stochastic tail index from high-frequency financial data
Osman Doğan, Süleyman Taşpınar, Anil K. Bera
| Year of publication: |
2021
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| Authors: | Doğan, Osman ; Taṣpınar, Süleyman ; Bera, Anil K. |
| 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 |
Online Resource
| 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 |
Persistent link: https://www.econbiz.de/10012664628