Stochastic volatility in the Peruvian stock market and exchange rate returns : a Bayesian approximation
Willy Alanya, Gabriel Rodríguez
| 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
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| Subject: | Stochastic volatility model | Bayesian estimation | Gibbs sampler | mixture sampler | integration | stock market | forex market | GARCH models | Peru | Wechselkurs | Exchange rate | Bayes-Statistik | Bayesian inference | Aktienmarkt | Stock market | Volatilität | Volatility | ARCH-Modell | ARCH model | Stochastischer Prozess | Stochastic process | Schätzung | Estimation | Devisenmarkt | Foreign exchange market | Theorie | Theory | Kapitalmarktrendite | Capital market returns |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1177/0972652718800560 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011964842