Bayesian testing for leverage effect in stochastic volatility models
Jin-Yu Zhang, Zhong-Tian Chen, Yong Li
| Year of publication: |
2019
|
|---|---|
| Authors: | Zhang, Jin-Yu ; Chen, Zhong-Tian ; Li, Yong |
| Published in: |
Computational economics. - Dordrecht [u.a.] : Springer, ISSN 0927-7099, ZDB-ID 1142021-2. - Vol. 53.2019, 3, p. 1153-1164
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| Subject: | X2 test | Bayes factor | Leverage effect | Markov chain Monte Carlo (MCMC) | Stochastic volatility models | Volatilität | Volatility | Monte-Carlo-Simulation | Monte Carlo simulation | Markov-Kette | Markov chain | Stochastischer Prozess | Stochastic process | Theorie | Theory | Bayes-Statistik | Bayesian inference | Schätzung | Estimation | Finanzmarkt | Financial market | Kapitaleinkommen | Capital income | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-017-9784-3 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012135124