Bayesian analysis of moving average stochastic volatility models: modeling in-mean effects and leverage for financial time series

DOI10.1080/07474938.2019.1630075zbMath1490.62316OpenAlexW2612910500MaRDI QIDQ5861000

M. Kolossiatis, Stefanos Dimitrakopoulos

Publication date: 4 March 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: http://eprints.whiterose.ac.uk/146531/1/manuscript_FINAL.pdf

zbMATH Keywords

stochastic volatilityMarkov chain Monte Carloleveragemoving averagein-mean effects

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15)

Related Items (3)

High-dimensional conditionally Gaussian state space models with missing data ⋮ A fast and efficient Markov chain Monte Carlo method for market microstructure model ⋮ Fat tails, serial dependence, and implied volatility index connections

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