Parameter instability, stochastic volatility and estimation based on simulated likelihood : evidence from the crude oil market
Year of publication: |
February 2017
|
---|---|
Authors: | Nonejad, Nima |
Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 61.2017, p. 388-408
|
Subject: | Bayes | Crude oil | Metropolis-Hastings | Parameter instability | Particle filtering | Volatilität | Volatility | Ölmarkt | Oil market | Schätztheorie | Estimation theory | Schätzung | Estimation | Ölpreis | Oil price | Zeitreihenanalyse | Time series analysis | Erdöl | Petroleum | Stochastischer Prozess | Stochastic process |
-
Oil volatility and economic growth : evidences from top oil trading countries
Bagadeem, Salim, (2023)
-
Self-exciting jumps in the oil market : bayesian estimation and dynamic hedging
Gonzato, Luca, (2021)
-
Bakare, Ibrahim A. O., (2018)
- More ...
-
Nonejad, Nima, (2018)
-
A detailed look at crude oil price volatility prediction using macroeconomic variables
Nonejad, Nima, (2020)
-
Nonejad, Nima, (2020)
- More ...