Copula stochastic volatility in oil returns : approximate Bayesian computation with volatility prediction
Year of publication: |
2020
|
---|---|
Authors: | Virbickaitė, Audronė ; Ausín, M. Concepción ; Galeano, Pedro |
Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 92.2020, p. 1-15
|
Subject: | Realized volatility | ABC | Bayesian inference | Energy commodity returns | MCMC | Volatilität | Volatility | Bayes-Statistik | Kapitaleinkommen | Capital income | Multivariate Verteilung | Multivariate distribution | Theorie | Theory | Stochastischer Prozess | Stochastic process | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Markov-Kette | Markov chain |
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