Stochastic volatility in mean : empirical evidence from Latin-American stock markets using Hamiltonian Monte Carlo and Riemann Manifold HMC methods
Carlos A. Abanto-Valle, Gabriel Rodríguez, Hernán B. Garrafa-Aragón
| Year of publication: |
2021
|
|---|---|
| Authors: | Abanto-Valle, Carlos A. ; Rodriguez, Gabriel ; Garrafa-Aragón, Hernán B. |
| Published in: |
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9769, ZDB-ID 1114217-0. - Vol. 80.2021, p. 272-286
|
| Subject: | Feed-back effect | Hamiltonian Monte Carlo | Markov Chain Monte Carlo | Non linear state space models | Riemannian Manifold Hamiltonian Monte Carlo | Stochastic Volatility in Mean | Stock Latin American markets | Monte-Carlo-Simulation | Monte Carlo simulation | Volatilität | Volatility | Theorie | Theory | Markov-Kette | Markov chain | Zustandsraummodell | State space model | Lateinamerika | Latin America | Stochastischer Prozess | Stochastic process | Aktienmarkt | Stock market |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.qref.2021.02.005 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012655392