Showing 1 - 8 of 8
This paper compares various models for time series of counts which can account for discreetness, overdispersion and serial correlation. Besides observation- and parameter-driven models based upon corresponding conditional Poisson distributions, we also consider a dynamic ordered probit model as...
Persistent link: https://www.econbiz.de/10002817440
Multi-fractal processes have recently been proposed as a new formalism for modelling the time series of returns in finance. The major attraction of these processes is their ability to generate various degrees of long memory in different powers of returns - a feature that has been found in...
Persistent link: https://www.econbiz.de/10002468813
In this paper Efficient Importance Sampling (EIS) is used to perform a classical and Bayesian analysis of univariate and multivariate Stochastic Volatility (SV) models for financial return series. EIS provides a highly generic and very accurate procedure for the Monte Carlo (MC) evaluation of...
Persistent link: https://www.econbiz.de/10002476893
Persistent link: https://www.econbiz.de/10001781205
Persistent link: https://www.econbiz.de/10001781206
Persistent link: https://www.econbiz.de/10001781208
Persistent link: https://www.econbiz.de/10001781210
Persistent link: https://www.econbiz.de/10001536481