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Bayesian Analysis of Moving Average Stochastic Volatility Models : Modelling in Mean Effects and Leverage for Financial Time Series

Dimitrakopoulos, Stefanos - 2017

We propose a moving average stochastic volatility in mean model and a moving average stochastic volatility model with leverage. For parameter estimation, we develop efficient Markov chain Monte Carlo algorithms and illustrate our methods, using simulated data and a real data set. We compare the...

Persistent link: https://www.econbiz.de/10012956581

Bayesian analysis of periodic asymmetric power GARCH models

Aknouche, Abdelhakim; Demmouche, Nacer; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 24 (2020) 4, pp. 1-24

Persistent link: https://www.econbiz.de/10012299605

Bayesian analysis of moving average stochastic volatility models : modeling in-mean effects and leverage for financial time series

Dimitrakopoulos, Stefanos; Kolossiatis, Michalis - In: Econometric reviews 39 (2020) 4, pp. 319-343

Persistent link: https://www.econbiz.de/10012181420