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Modelación de series de tiempo, estacionariedad y métodos Bayesianos no paramétricos

Martínez-Ovando, Juan Carlos; Walker, Stephen G. - 2011

In this paper we introduce two general non-parametric first-order stationary time-series models for which marginal (invariant) and transition distributions are expressed as infinite-dimensional mixtures. That feature makes them the first Bayesian stationary fully non-parametric models developed...

Persistent link: https://www.econbiz.de/10010322563

Modelación de series de tiempo, estacionariedad y métodos Bayesianos no paramétricos

Martínez-Ovando, Juan Carlos; Walker, Stephen G. - 2011

Persistent link: https://www.econbiz.de/10009348026

Modelos Garch y la tasa de interés nominal de corto plazo en Chile

Parisi, Franco; Parisi, Antonio - In: El trimestre económico 65 (1998) 4, pp. 519-534

Persistent link: https://www.econbiz.de/10001364335

Predicción de volatilidad : una aplicación al mercado español de opciones sobre el IBEX 35

Lorenzo Alegría, Rosa María - In: Boletín de estudios económicos 52 (1997) 160, pp. 91-122

Persistent link: https://www.econbiz.de/10001219880

Índice de turbulencia financiera para Argentina mediante und modelo

Delfau, Emiliano - 2018

Persistent link: https://www.econbiz.de/10011901564

Classical and Bayesian estimation of volatility in the Black-Scholes model

Cangrejo Esquivel, Alvaro Javier; Tovar Cuevas, José Rafael - In: Revista de Métodos Cuantitativos para la Economía y … 34 (2022), pp. 237-262

volatility, since this is precisely the variable that is negotiated. We present then a statistical methodology for the estimation …The valuation of options and to a large extent the financial derivatives market require an optimal estimation of the … of the volatility parameter for an asset using methods of the Bayesian approach to statistics. As prior distributions for …

Persistent link: https://www.econbiz.de/10014494469