Stochastic Volatility Models (SVM) in the Analysis of Drought Periods

DOI10.1007/978-981-10-5370-2_7zbMath1402.62296OpenAlexW2775489154MaRDI QIDQ4555212

Emílio Augusto Coelho Barros, Roberto M. de Souza, Jorge Alberto Achcar

Publication date: 19 November 2018

Published in: Mathematical and Statistical Applications in Life Sciences and Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-981-10-5370-2_7

zbMATH Keywords

drought periodsrain precipitationstochastic volatility models (SVM)

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to environmental and related topics (62P12)

Uses Software

• BUGS
• R2jags

Cites Work

• Unnamed Item
• Stochastic volatility in asset prices. Estimation with simulated maximum likelihood
• Generalized autoregressive conditional heteroscedasticity
• BUGS for a Bayesian analysis of stochastic volatility models
• Sampling-Based Approaches to Calculating Marginal Densities
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• Bayesian Measures of Model Complexity and Fit

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