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Le phénomène de "Mean Reversion" dans les prix boursiers : survol théorique et évidence sur le marché Suisse

Christen, François - 1994

Persistent link: https://www.econbiz.de/10000901463

Forecasting movements in the stock market : a comparison between static and dynamic models

Jung, Chulho - In: The southern business & economic journal 17 (1994) 4, pp. 297-315

Persistent link: https://www.econbiz.de/10001166047

Econometric analysis of financial transaction data : Pitfalls and opportunities

Hautsch, Nikolaus; Pohlmeier, Winfried - In: Allgemeines statistisches Archiv : AStA ; journal of … 86 (2002) 1, pp. 5-30

Persistent link: https://www.econbiz.de/10001650462

Discrete-time stochastic volatility models and MCMC-based statistical inference

Hautsch, Nikolaus (contributor); Ou, Yangguoyi (contributor) - 2008

In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and illustrate the major principles of corresponding Markov Chain Monte Carlo (MCMC) based statistical inference. We provide a hands-on ap proach which is easily implemented in empirical...