Bayesian estimation of long memory models and its application to exchange rates

MaRDI QIDQ5490475zbMATH OpenFDO

Authors Lixia Xu, Cihua Liu, Gaoqin Nie

Publication date 4 October 2006

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

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Cited in

(9)

• Testing for long-term memory in yen/dollar exchange rate
• Bayesian estimation of ARMA-GARCH model of weekly foreign exchange rates
• Long memory estimation in a non-Gaussian bivariate process
• 缺失数据环境下汇率序列的潜变量Metropolis-Hastings算法及触发式理财产品定价#br#
• Using an empirical Bayes model to estimate currency exchange rate
• Bayesian, MLE, and GMM Estimation of a Spot Rate Model
• Bayesian estimation and the application of long memory stochastic volatility models
• A Bayesian analysis of the unit root in real exchange rates
• Testing for long memory in the Asian foreign exchange rates

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