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Bayesian nonparametrics for financial volatility modeling

Zaharieva, Martina Danielova - 2017

Persistent link: https://www.econbiz.de/10012200829

An infinite hidden Markov model with GARCH for short-term interest rates

Li, Chenxing; Yang, Qiao - In: Finance research letters 80 (2025), pp. 1-18

Persistent link: https://www.econbiz.de/10015422517

Flexible modeling of dependence in volatility processes

Kalli, Maria; Griffin, Jim - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 1, pp. 102-113

Persistent link: https://www.econbiz.de/10011389911

A semiparametric Bayesian approach to the analysis of financial time series with applications to value at risk estimation

Ausín, M. Concepción; Galeano, Pedro; Ghosh, Pulak - In: European journal of operational research : EJOR 232 (2014) 2, pp. 350-358

Persistent link: https://www.econbiz.de/10010224698

Predicting extreme daily regime shifts in financial time series exchange/Johannesburg stock exchange : all share index

Makatjane, Katleho; Moroke, Ntebogang Dinah - In: International Journal of Financial Studies : open … 9 (2021) 2, pp. 1-18

During the past decades, seasonal autoregressive integrated moving average (SARIMA) had become one of a prevalent linear models in time series and forecasting. Empirical research advocated that forecasting with non-linear models can be an encouraging alternative to traditional linear models....

Persistent link: https://www.econbiz.de/10012508859

A Bayesian time-varying autoregressive model for improved short-term and long-term prediction

Berninger, Christoph; Stöcker, Almond; Rügamer, David - In: Journal of forecasting 41 (2022) 1, pp. 181-200

Persistent link: https://www.econbiz.de/10012796284

Bayesian inference for long memory stochastic volatility models

Chaim, Pedro; Laurini, Márcio Poletti - In: Econometrics : open access journal 12 (2024) 4, pp. 1-28

volatility models characterized by long memory. The logarithmic variance persistence in these models is represented by a … methodology to estimate volatility dependency patterns for both the SP&500 index and major cryptocurrencies. We thoroughly assess …-factor extensions and apply this method to estimate volatility measurements from high-frequency data, underscoring its exceptional …

Persistent link: https://www.econbiz.de/10015272743

Adaptive Bayesian estimation of conditional discrete-continuous distributions with an application to stock market trading activity

Norets, Andriy; Pelenis, Justinas - In: Journal of econometrics 230 (2022) 1, pp. 62-82

Persistent link: https://www.econbiz.de/10013441915

A Bayesian nonparametric investigation of the predictive effect of exchange rates on commodity prices

Jin, Xin - In: Frontiers of economics in China : selected publications … 15 (2020) 2, pp. 179-210

Persistent link: https://www.econbiz.de/10012670623

Bayesian semiparametric multivariate stochastic volatility with application

Zaharieva, Martina Danielova; Trede, Mark; Wilfling, Bernd - In: Econometric reviews 39 (2020) 9, pp. 947-970

Persistent link: https://www.econbiz.de/10012295590