On the Long-Run Volatility of Stocks

DOI10.1080/01621459.2017.1407769zbMath1402.62333OpenAlexW2188724788MaRDI QIDQ4559692

Robert E. McCulloch, Hedibert Freitas Lopes, Carlos Marinho Carvalho

Publication date: 4 December 2018

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/01621459.2017.1407769

zbMATH Keywords

covariance matrixvolatilitydynamic modelslong-run investing

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Analysis of variance and covariance (ANOVA) (62J10)

Related Items

Parsimony inducing priors for large scale state-space models, Systematic risk in the biopharmaceutical sector: a multiscale approach, Time-varying asymmetry and tail thickness in long series of daily financial returns

Cites Work

• Unnamed Item
• Unnamed Item
• Bayesian forecasting and dynamic models.
• Predictability of stock returns and asset allocation under structural breaks
• Bayesianly justifiable and relevant frequency calculations for the applied statistician
• Markov chain Monte Carlo methods for stochastic volatility models.
• Bayesian analysis of covariance matrices and dynamic models for longitudinal data