An application of three bivariate time-varying volatility models

DOI10.1002/ASMB.431MaRDI QIDQ2722298zbMATH OpenOpenAlexFDO

Authors I. D. Vrontos, S. G. Giakoumatos, Petros Dellaportas, Dimitris Politis

Publication date 11 July 2001

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.431

zbMATH Keywords

generalized autoregressive heteroskedasticityMCMCpredictive distributionunobserved ARCH

Mathematics Subject Classification ID

Empirical decision procedures; empirical Bayes procedures (62C12) Inference from stochastic processes and prediction (62M20) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Economic time series analysis (91B84)

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Cites work

• ARCH modeling in finance. A review of the theory and empirical evidence
• ARCH models and financial applications
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• scientific article; zbMATH DE number 1522717 (Why is no real title available?)
• Reversible jump Markov chain Monte Carlo computation and Bayesian model determination
• Simulation Run Length Control in the Presence of an Initial Transient
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models

Cited in

(11)

• Bayesian comparison of bivariate ARCH-type models for the main exchange rates in Poland
• Modeling and forecasting volatility in a Bayesian approach
• Multivariate Volatility Models
• Bayesian estimation and comparison of MGARCH and MSV models via WinBUGS
• scientific article; zbMATH DE number 1424396 (Why is no real title available?)
• scientific article; zbMATH DE number 1424399 (Why is no real title available?)
• Bayesian Comparison of Bivariate GARCH Processes. The Role of the Conditional Mean Specification
• Drawdown risk measures for asset portfolios with high frequency data
• Estimación bayesiana de un Modelo Garch-M Bivariado
• A semi-Markovian approach to drawdown-based measures
• Analyzing return asymmetry and quantiles through stochastic volatility models using asymmetric Laplace error via uniform scale mixtures

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