Modeling and forecasting volatility in a Bayesian approach

DOI10.1108/S0731-9053(2010)0000026014MaRDI QIDQ3295700zbMATH OpenFDO

Authors Esmail Amiri

Publication date 10 July 2020

Published in Maximum Simulated Likelihood Methods and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1108/S0731-9053(2010)0000026014

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial markets (91G15)

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Cited in

(8)

• Maximizing equity market sector predictability in a Bayesian time-varying parameter model
• A pseudo-Bayesian model in financial decision making with implications to market volatility, under- and overreaction
• A comparison of forecasting models of the volatility in Shenzhen stock market
• Forecasting volatility in the presence of model instability
• Predictive Inference for Integrated Volatility
• Boosting-Based Frameworks in Financial Modeling: Application to Symbolic Volatility Forecasting
• GARCH-type forecasting models for volatility of stock market and MCS test
• Modeling and forecasting aggregate stock market volatility in unstable environments using mixture innovation regressions

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