Showing 1 - 10 of 35
Persistent link: https://www.econbiz.de/10008903404
Persistent link: https://www.econbiz.de/10003549609
Persistent link: https://www.econbiz.de/10009242188
Persistent link: https://www.econbiz.de/10010337864
Persistent link: https://www.econbiz.de/10003240461
Persistent link: https://www.econbiz.de/10003241969
Persistent link: https://www.econbiz.de/10002929602
Persistent link: https://www.econbiz.de/10002095903
Persistent link: https://www.econbiz.de/10001606013
This paper introduces a new family of Bayesian semi-parametric models for the conditional distribution of daily stock index returns. The proposed models capture key stylized facts of such returns, namely heavy tails, asymmetry, volatility clustering, and leverage. A Bayesian nonparametric prior...
Persistent link: https://www.econbiz.de/10013092788