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Exploiting common features in macroeconomic and financial data

Çakmaklı, Cem - 2012

Persistent link: https://www.econbiz.de/10009713424

Adaptive Bayesian estimation of conditional discrete-continuous distributions with an application to stock market trading activity

Norets, Andriy; Pelenis, Justinas - In: Journal of econometrics 230 (2022) 1, pp. 62-82

Persistent link: https://www.econbiz.de/10013441915

Modeling spot rate using a realized stochastic volatility model with level effect and dynamic drift

Li, Shaoyu; Zheng, Tingguo - In: The North American journal of economics and finance : a … 40 (2017), pp. 200-221

Persistent link: https://www.econbiz.de/10011878816

Bayesian Analysis of Moving Average Stochastic Volatility Models : Modelling in Mean Effects and Leverage for Financial Time Series

Dimitrakopoulos, Stefanos - 2017

We propose a moving average stochastic volatility in mean model and a moving average stochastic volatility model with leverage. For parameter estimation, we develop efficient Markov chain Monte Carlo algorithms and illustrate our methods, using simulated data and a real data set. We compare the...

Persistent link: https://www.econbiz.de/10012956581