Bayesian Inference for The Mixed Conditional Heteroskedasticity Model  

Oleh:

Bauwens, L. ; Rombouts, J. V. K.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Econometrics Journal vol. 10 no. 2 (2007), page 408–425.
Topik: Bayesian; bayesian inference; finite mixture; ML estimation; value at risk
Fulltext: 408.pdf (743.72KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: EE39.3 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

Lihat Detail Induk

Isi artikel

We estimate by Bayesian inference the mixed conditional heteroskedasticity model of Haas et al. (2004a Journal of Financial Econometrics 2, 211 – 50). We construct a Gibbs sampler algorithm to compute posterior and predictive densities. The number of mixture components is selected by the marginal likelihood criterion. We apply the model to the SP500 daily returns.

Opini Anda

Klik untuk menuliskan opini Anda tentang koleksi ini!

Kembali