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Hierarchical Markov normal mixture models with applications to financial asset returns
Geweke, John; Amisano, Gianni - European Central Bank - 2007
With the aim of constructing predictive distributions for daily returns, we introduce a new Markov normal mixture model in which the components are themselves normal mixtures. We derive the restrictions on the autocovariances and linear representation of integer powers of the time series in...
Persistent link: https://www.econbiz.de/10005530825
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Bayesian Forecasting of Options Prices: A Natural Framework for Pooling Historical and Implied Volatiltiy Information
Darsinos, T.; Satchell, S.E. - Faculty of Economics, University of Cambridge - 2001
Bayesian statistical methods are naturally oriented towards pooling in a rigorous way information from separate sources … volatility or options prices. We develop a formal Bayesian framework where we can merge the backward looking information as … forecasting options prices out of sample (i.e. one-day ahead) our Bayesian estimators outperform standard forecasts that use …
Persistent link: https://www.econbiz.de/10005783847