Bayesian non-linear quantile effects on modelling realized kernels
Manh Cuong Dong, Cathy W. S. Chen, Manabu Asai
| Year of publication: |
2023
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|---|---|
| Authors: | Dong, Manh Cuong ; Chen, Cathy W. S. ; Asai, Manabu |
| Published in: |
International journal of finance & economics : IJFE. - Chichester [u.a.] : Wiley, ISSN 1099-1158, ZDB-ID 1493204-0. - Vol. 28.2023, 1, p. 981-995
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| Subject: | abnormal trading volume | Bayesian MCMC methods | intraday returns | posterior odds ratio | threshold quantile model with GARCH effects | Bayes-Statistik | Bayesian inference | ARCH-Modell | ARCH model | Theorie | Theory | Handelsvolumen der Börse | Trading volume | Monte-Carlo-Simulation | Monte Carlo simulation | Volatilität | Volatility | Markov-Kette | Markov chain | Schätzung | Estimation | Kapitaleinkommen | Capital income | Regressionsanalyse | Regression analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/ijfe.2459 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014253335