Stochastic tail index model for high frequency financial data with Bayesian analysis
Guangyu Mao, Zhengjun Zhang
| Year of publication: |
2018
|
|---|---|
| Authors: | Mao, Guangyu ; Zhang, Zhengjun |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 205.2018, 2, p. 470-487
|
| Subject: | Bayesian statistics | Extreme values | High frequency | State space model | Tail index | Bayes-Statistik | Bayesian inference | Zeitreihenanalyse | Time series analysis | Theorie | Theory | Volatilität | Volatility | Wahrscheinlichkeitsrechnung | Probability theory | Zustandsraummodell | Stochastischer Prozess | Stochastic process | Statistische Verteilung | Statistical distribution | Aktienindex | Stock index | Börsenkurs | Share price | Risikomaß | Risk measure | Ausreißer | Outliers | Statistische Methodenlehre | Statistical theory | Prognoseverfahren | Forecasting model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2018.03.019 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012110325