Bayesian modeling of financial returns: A relationship between volatility and trading volume
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Publication:5391301
DOI10.1002/asmb.789zbMath1224.91179MaRDI QIDQ5391301
Carlos A. Abanto-Valle, Hedibert Freitas Lopes, Helio S. Migon
Publication date: 6 April 2011
Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/asmb.789
stochastic volatility; financial returns; Bayesian modelling; Markov process of first order; nonlinear and non-Gaussian state space models
91G60: Numerical methods (including Monte Carlo methods)
91G70: Statistical methods; risk measures
65C05: Monte Carlo methods
65C40: Numerical analysis or methods applied to Markov chains
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