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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

Three essays on unit roots and nonlinear co-integrated processes

Gaul, Jürgen - 2008

Persistent link: https://www.econbiz.de/10003773152

Bayesian estimation of NIG-parameters by Markov Chain Monte Carlo Methods

Lillestøl, Jostein - 2000 - Rev.

alternative for modelling financial data exhibiting skewness and fat tails. In this paper we explore the Bayesian estimation of …

Persistent link: https://www.econbiz.de/10009612011

Bayesian estimation for high-frequency volatility models in a time deformed framework

Santos, Antonio A. F. - In: Computational economics 57 (2021) 2, pp. 455-479

Persistent link: https://www.econbiz.de/10012486920

Variance reduction estimation for return models with jumps using gamma asymmetric kernels

Song, Yuping; Hou, Weijie; Zhou, Shengyi - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 23 (2019) 5, pp. 1-38

Persistent link: https://www.econbiz.de/10012198377

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 estimates according to the Capital Asset Pricing Model (CAPM). The main objective of this research is to compare the Polish and German beta parameters of five Polish and...

Persistent link: https://www.econbiz.de/10013334984