Modeling financial time series based on a market microstructure model with leverage effect

DOI10.1155/2016/1580941zbMath1464.62422OpenAlexW2274262276WikidataQ59123391 ScholiaQ59123391MaRDI QIDQ2314707

Hui Peng, Yemei Qin, Yanhui Xi

Publication date: 30 July 2019

Published in: Discrete Dynamics in Nature and Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2016/1580941

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

Related Items (1)

A fast and efficient Markov chain Monte Carlo method for market microstructure model

Uses Software

• BUGS

Cites Work

• On leverage in a stochastic volatility model
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• BUGS for a Bayesian analysis of stochastic volatility models
• An Algorithmic Introduction to Numerical Simulation of Stochastic Differential Equations
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• Stochastic Relaxation, Gibbs Distributions, and the Bayesian Restoration of Images
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• Modelling and asset allocation for financial markets based on a stochastic volatility microstructure model
• Monte Carlo sampling methods using Markov chains and their applications
• Bayesian inference on GARCH models using the Gibbs sampler

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