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Bayesian statistical computations of nonlinear financial time series models : a survey with illustrations

Tsurumi, Hiroki - In: Asia-Pacific financial markets 7 (2000) 3, pp. 209-237

Persistent link: https://www.econbiz.de/10001508541

Bayesian estimation of ARMA-GARCH model of weekly foreign exchange rates

Nakatsuma, Teruo; Tsurumi, Hiroki - In: Asia-Pacific financial markets 6 (1999) 1, pp. 71-84

Persistent link: https://www.econbiz.de/10001506398

Korean currency crisis and regime change : a multivariate GARCH model with Bayesian approach

Kim, Suduk; Tsurumi, Hiroki - In: Asia-Pacific financial markets 7 (2000) 1, pp. 31-44

Persistent link: https://www.econbiz.de/10001506571

Testing of purchasing power parity theory using the doubly truncated ARMA-GARCH model and MCMC algorithms

Kim, Suduk; Chen, Chyong-lin; Tsurumi, Hiroki - In: Journal of economic research 8 (2003) 2, pp. 111-138

Persistent link: https://www.econbiz.de/10001872373

Regimes and long memory in realized volatility

Goldman, Elena; Nam, Jouahn; Tsurumi, Hiroki; Jun, Wang - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 17 (2013) 5, pp. 521-549

Persistent link: https://www.econbiz.de/10010228559

Bayesian analysis of a doubly truncated ARMA-GARCH model

Goldman, Elena (contributor); Tsurumi, Hiroki (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 9 (2005) 3, pp. 1-36

Persistent link: https://www.econbiz.de/10003283242

ARMA-GARCH models : Bayes estimation versus MLE, and Bayes non-stationarity test

Nakatsuma, Teruo; Tsurumi, Hiroki - 1996

We compare small-sample properties of Bayes estimation and maximum likelihood estimation (MLE) of ARMA-GARCH models. Our Monte Carlo experiments indicate that in small sample, the Bayes estimator beats the MLE. We also develop a Bayes method of testing strict stationarity and ergodicity of the...

Persistent link: https://www.econbiz.de/10011577178