Hierarchical Markov normal mixture models with applications to financial asset returns
Year of publication: |
2007
|
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Authors: | Geweke, John ; Amisano, Gianni |
Publisher: |
Frankfurt a. M. : European Central Bank (ECB) |
Subject: | Kapitaleinkommen | Devisenmarkt | Rentenmarkt | Börsenkurs | Bayes-Statistik | ARCH-Modell | Markov-Kette | Asset returns | Bayesian | forecasting | MCMC | mixture models |
Series: | ECB Working Paper ; 831 |
---|---|
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 555971414 [GVK] hdl:10419/153265 [Handle] RePEc:ecb:ecbwps:20070831 [RePEc] |
Classification: | C53 - Forecasting and Other Model Applications ; G12 - Asset Pricing ; C11 - Bayesian Analysis ; C14 - Semiparametric and Nonparametric Methods |
Source: |
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Geweke, John, (2009)
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Bayesian semiparametric multivariate GARCH modeling
Jensen, Mark J., (2012)
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Bayesian semiparametric multivariate GARCH modeling
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Comparing and evaluating Bayesian predictive distributions of assets returns
Geweke, John, (2008)
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Geweke, John, (2009)
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Geweke, John, (2011)
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