Bayesian modeling of financial returns: A relationship between volatility and trading volume

DOI10.1002/asmb.789zbMath1224.91179OpenAlexW4245785024MaRDI QIDQ5391301

Carlos A. Abanto-Valle, Hedibert Freitas Lopes, Helio S. Migon

Publication date: 6 April 2011

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.789

zbMATH Keywords

stochastic volatilityfinancial returnsBayesian modellingMarkov process of first ordernonlinear and non-Gaussian state space models

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40)

Related Items (2)

A threshold stochastic volatility model with explanatory variables ⋮ Robust Bayesian analysis of heavy-tailed stochastic volatility models using scale mixtures of normal distributions

Uses Software

• Scythe

Cites Work

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