New volatility models under a Bayesian perspective : a case study
Edilberto Cepeda Cuervo, Jorge Alberto Achcar, Milton Barossi-Filho
| Year of publication: |
Abril-Junho 2014
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|---|---|
| Authors: | Cuervo, Edilberto Cepeda ; Achcar, Jorge Alberto ; Barossi Filho, Milton |
| Published in: |
Economia aplicada : EA. - Ribeirão Prêto : [FEA-RP, USP, Departamento de Economia], ISSN 1413-8050, ZDB-ID 2013461-7. - Vol. 18.2014, 2, p. 179-197
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| Subject: | ARCH | GARCH | EGARCH | Stochastic Volatility Models | Financial Time Series | Bayesian methodology | MCMC methods | Volatilität | Volatility | ARCH-Modell | ARCH model | Bayes-Statistik | Bayesian inference | Zeitreihenanalyse | Time series analysis | Stochastischer Prozess | Stochastic process | Schätztheorie | Estimation theory | Börsenkurs | Share price | Markov-Kette | Markov chain | Monte-Carlo-Simulation | Monte Carlo simulation | Wechselkurs | Exchange rate |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | Zusammenfassung in portugiesischer Sprache |
| Other identifiers: | 10.1590/1413-8050/ea91 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011449738