Generalized EGARCH Random Effect Models Application to Financial Time Series
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Publication:3072385
DOI10.1080/03610918.2010.503016zbMath1205.62127MaRDI QIDQ3072385
Publication date: 3 February 2011
Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610918.2010.503016
MCMC methods; Bayesian methodology; financial time series; GARCH models; volatility models; EGARCH models
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05: Applications of statistics to actuarial sciences and financial mathematics
62F15: Bayesian inference
Cites Work
- ARCH modeling in finance. A review of the theory and empirical evidence
- Generalized autoregressive conditional heteroscedasticity
- BUGS for a Bayesian analysis of stochastic volatility models
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- The Price Variability-Volume Relationship on Speculative Markets
- MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY