Bayesian analysis of FIAPARCH model: an application to Sao Paulo Stock Market

Use este identificador para citar ou linkar para este item: http://repositorio.ufla.br/jspui/handle/1/43139

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Campo DC	Valor	Idioma
dc.creator	Safadi, Thelma	-
dc.creator	Pereira, Isabel	-
dc.date.accessioned	2020-09-20T00:31:38Z	-
dc.date.available	2020-09-20T00:31:38Z	-
dc.date.issued	2010	-
dc.identifier.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.	pt_BR
dc.identifier.uri	http://www.ceser.in/ceserp/index.php/bse/article/view/2068	pt_BR
dc.identifier.uri	http://repositorio.ufla.br/jspui/handle/1/43139	-
dc.description.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.	pt_BR
dc.language	en_US	pt_BR
dc.publisher	Centre for Environment & Socio-Economic Research Publications	pt_BR
dc.rights	restrictAccess	pt_BR
dc.source	International Journal of Statistics and Economics	pt_BR
dc.subject	Asymmetry	pt_BR
dc.subject	Long memory	pt_BR
dc.subject	Volatility	pt_BR
dc.title	Bayesian analysis of FIAPARCH model: an application to Sao Paulo Stock Market	pt_BR
dc.type	Artigo	pt_BR
Aparece nas coleções:	DEX - Artigos publicados em periódicos

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