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http://repositorio.ufla.br/jspui/handle/1/43139| Title: | Bayesian analysis of FIAPARCH model: an application to Sao Paulo Stock Market |
| Keywords: | Asymmetry Long memory Volatility |
| Issue Date: | 2010 |
| Publisher: | Centre for Environment & Socio-Economic Research Publications |
| Citation: | SÁFADI, T.; PEREIRA, I. Bayesian analysis of FIAPARCH model: an application to Sao Paulo Stock Market. International Journal of Statistics and Economics, [S.l.], v. 5, p. 49-63, 2010. Especial Issue. |
| Abstract: | In this paper, we develop a Bayesian analysis of a FIAPARCH(p,d,q) model for parameter estimation and conditional variance prediction. In order to study the inference problem we use the Metropolis-Hastings algorithm.This methodology is illustrated in a simulation study and it is applied to a set of observations concerning the returns of IBOVESPA values. |
| URI: | http://www.ceser.in/ceserp/index.php/bse/article/view/2068 http://repositorio.ufla.br/jspui/handle/1/43139 |
| Appears in Collections: | DEX - Artigos publicados em periódicos |
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