On the long-run volatility of stocks
DOI10.1080/01621459.2017.1407769zbMATH Open1402.62333OpenAlexW2188724788MaRDI QIDQ4559692FDOQ4559692
Authors: Hedibert F. Lopes, Robert E. McCulloch, Carlos M. Carvalho 
Publication date: 4 December 2018
Published in: Journal of the American Statistical Association (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/01621459.2017.1407769
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Cites Work
- Markov chain Monte Carlo methods for stochastic volatility models.
- Bayesianly justifiable and relevant frequency calculations for the applied statistician
- Bayesian forecasting and dynamic models.
- Predictability of stock returns and asset allocation under structural breaks
- Title not available (Why is that?)
- Bayesian analysis of covariance matrices and dynamic models for longitudinal data
- Time series. Modeling, computation, and inference.
Cited In (6)
- Price Dividend Ratio and Long-Run Stock Returns: A Score-Driven State Space Model
- Parsimony inducing priors for large scale state-space models
- Systematic risk in the biopharmaceutical sector: a multiscale approach
- Long-run risk-return trade-offs
- Long-run comovements in East Asian stock market volatility
- Time-varying asymmetry and tail thickness in long series of daily financial returns
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