Stochastic volatility in the Peruvian stock market and exchange rate returns : a Bayesian approximation
Year of publication: |
December 2018
|
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Authors: | Alanya, Willy ; Rodriguez, Gabriel |
Published in: |
Journal of emerging market finance. - Los Angeles, Calif. [u.a.] : Sage, ISSN 0972-6527, ZDB-ID 2136100-9. - Vol. 17.2018, 3, p. 354-385
|
Subject: | Stochastic volatility model | Bayesian estimation | Gibbs sampler | mixture sampler | integration | stock market | forex market | GARCH models | Peru | Volatilität | Volatility | Bayes-Statistik | Bayesian inference | Wechselkurs | Exchange rate | ARCH-Modell | ARCH model | Aktienmarkt | Stock market | Stochastischer Prozess | Stochastic process | Schätzung | Estimation | Theorie | Theory | Kapitaleinkommen | Capital income | Devisenmarkt | Foreign exchange market |
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