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Bayesian estimation of NIG-parameters by Markov Chain Monte Carlo Methods
Lillestøl, Jostein - 2000 - Rev.
The Normal Inverse Gaussian (NIG) distribution recently introduced by Barndorff-Nielsen (1997) is a promising alternative for modelling financial data exhibiting skewness and fat tails. In this paper we explore the Bayesian estimation of NIG-parameters by Markov Chain Monte Carlo Methods. --...
Persistent link: https://www.econbiz.de/10009612011
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Bayesian estimation of NIG-parameters by Markov chain Monte Carlo methods
Lillestøl, Jostein - 2000
Persistent link: https://www.econbiz.de/10001582162
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Simple estimators and inference for higher-order stochastic volatility models
Ahsan, Nazmul; Dufour, Jean-Marie - In: Journal of econometrics 224 (2021) 1, pp. 181-197
Persistent link: https://www.econbiz.de/10013275370
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Bayesian estimation of dynamic asset pricing models with informative observations
Fulop, Andras; Li, Junye - In: Journal of econometrics 209 (2019) 1, pp. 114-138
Persistent link: https://www.econbiz.de/10012302530
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On tree-structured linear and quantile regression-based asset pricing
Galakis, John; Vrontos, Ioannis; Xidonas, Panos - In: Review of accounting & finance 21 (2022) 3, pp. 204-245
Persistent link: https://www.econbiz.de/10013368270
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The Bayesian method in estimating Polish and German industry betas : a comparative nalysis of the risk between the main economic sectors from 2001-2020
Feder-Sempach, Ewa; Szczepocki, Piotr - In: Comparative economic research : Central and Eastern Europe 25 (2022) 2, pp. 45-60
This paper examines the long‑term dependence between the Polish and German stock markets in terms of industry beta risk …, but Telecom was defensive. The results give a valuable insight into the systematic risk levels in Poland and Germany …
Persistent link: https://www.econbiz.de/10013334984
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Parameter estimation of the Heston volatility model with jumps in the asset prices
Gruszka, Jarosław; Szwabiński, Janusz - In: Econometrics : open access journal 11 (2023) 2, pp. 1-26
The parametric estimation of stochastic differential equations (SDEs) has been the subject of intense studies already for several decades. The Heston model, for instance, is based on two coupled SDEs and is often used in financial mathematics for the dynamics of asset prices and their...
Persistent link: https://www.econbiz.de/10014362627
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Stochastic volatility, long run risks, and aggregate stock market fluctuations
Avdjiev, Stefan; Balke, Nathan S. - 2010
Persistent link: https://www.econbiz.de/10008904029
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Cointegration tests under multiple regime shifts : an application to the stock price-dividend relationship
Gabriel, Vasco J.; Martins, Luís Filipe - In: Empirical economics : a journal of the Institute for … 41 (2011) 3, pp. 639-662
Persistent link: https://www.econbiz.de/10009381348
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Bayesian estimation of asymmetric jump-diffusion processes
Frame, Samuel J.; Ramezani, Cyrus A. - In: Annals of financial economics 9 (2014) 3, pp. 1-29
Persistent link: https://www.econbiz.de/10010512597