Modeling and forecasting volatility in a bayesian approach
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Publication:3295700
DOI10.1108/S0731-9053(2010)0000026014zbMATH Open1452.91294MaRDI QIDQ3295700
Publication date: 10 July 2020
Published in: Maximum Simulated Likelihood Methods and Applications (Search for Journal in Brave)
Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial markets (91G15)
Related Items (5)
Predictive Inference for Integrated Volatility ⋮ Boosting-Based Frameworks in Financial Modeling: Application to Symbolic Volatility Forecasting ⋮ Forecasting volatility in the presence of model instability ⋮ Maximizing equity market sector predictability in a Bayesian time-varying parameter model ⋮ A pseudo-Bayesian model in financial decision making with implications to market volatility, under- and overreaction
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