Similar Search Results

Bayesian inference for long memory stochastic volatility models

Chaim, Pedro; Laurini, Márcio Poletti - In: Econometrics : open access journal 12 (2024) 4, pp. 1-28

We explore the application of integrated nested Laplace approximations for the Bayesian estimation of stochastic volatility models characterized by long memory. The logarithmic variance persistence in these models is represented by a Fractional Gaussian Noise process, which we approximate as a...

Persistent link: https://www.econbiz.de/10015272743

A regime-switching real-time copula GARCH model for optimal futures hedging

Lee, Hsiang-Tai; Lee, Chien-Chiang - In: International review of financial analysis 84 (2022), pp. 1-17

Persistent link: https://www.econbiz.de/10013472897

Markov switching GARCH models : higher order moments, kurtosis measures, and volatility evaluation in recessions and pandemic

Cavicchioli, Maddalena - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 4, pp. 1772-1783

Persistent link: https://www.econbiz.de/10013540511

Volatility forecasting revisited using Markov-switching with time-varying probability transition

Wang, Jiqian; Ma, Feng; Liang, Chao; Chen, Zhonglu - In: International journal of finance & economics : IJFE 27 (2022) 1, pp. 1387-1400

Persistent link: https://www.econbiz.de/10012815077

A Bayesian time-varying autoregressive model for improved short-term and long-term prediction

Berninger, Christoph; Stöcker, Almond; Rügamer, David - In: Journal of forecasting 41 (2022) 1, pp. 181-200

Persistent link: https://www.econbiz.de/10012796284

Dynamic Volatility Modelling of Bitcoin Using Time-Varying Transition Probability Markov-Switching GARCH Model

Tan, Chia Yen - 2020

Bitcoin (BTC), as the dominant cryptocurrency, has attracted tremendous attention lately due to its excessive volatility. This paper proposes the time-varying transition probability Markov-switching GARCH (TV-MSGARCH) models incorporated BTC logarithmic daily trading volume or Google daily...

Persistent link: https://www.econbiz.de/10012837278