Chigira, Hiroaki; Shiba, Tsunemasa - Institute of Economic Research, Hitotsubashi University - 2006
, we set up a Bayesian model and use an MCMC to simulate posterior pdf's of heteroscedastic variances whose structures are … the original regression model.
After we obtain the Eicker–White HCCM, we set up a Bayesian model
and use an MCMC to …–White HCCM, orthogonal regressors, conditional Bayesian,
MCMC, stock return variance estimation
∗
We thank Hiroki Tsurumi of …