An application of three bivariate time-varying volatility models

DOI10.1002/asmb.431zbMath0967.91064OpenAlexW2016349636MaRDI QIDQ2722298

Petros Dellaportas, Ioannis D. Vrontos, Stefanos G. Giakoumatos, Dimitris N. 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

MCMCpredictive distributiongeneralized autoregressive heteroskedasticityunobserved ARCH

Mathematics Subject Classification ID

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

Related Items

Bayesian comparison of bivariate ARCH-type models for the main exchange rates in Poland ⋮ Drawdown risk measures for asset portfolios with high frequency data

Cites Work

• Unnamed Item
• Reversible jump Markov chain Monte Carlo computation and Bayesian model determination
• ARCH modeling in finance. A review of the theory and empirical evidence
• ARCH models and financial applications
• Simulation Run Length Control in the Presence of an Initial Transient
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models