On the observed-data deviance information criterion for volatility modeling
Joshua C.C. Chan and Angelia L. Grant
| Year of publication: |
2016
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|---|---|
| Authors: | Chan, Joshua ; Grant, Angelia L. |
| Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 14.2016, 4, p. 772-802
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| Subject: | Bayesian model comparison | nonlinear state space | DIC | jumps | moving average | leverage | heavy tails | S&P 500 | Bayes-Statistik | Bayesian inference | Volatilität | Volatility | Zustandsraummodell | State space model | Nichtlineare Regression | Nonlinear regression | Schätzung | Estimation | Monte-Carlo-Simulation | Monte Carlo simulation | Theorie | Theory | Börsenkurs | Share price | Kapitalmarktrendite | Capital market returns | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbw002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011623867