An Empirical Application Of Stochastic Volatility Models To Latin American Stock Returns Using Gh Skew Students T Distribution
Download An Empirical Application Of Stochastic Volatility Models To Latin American Stock Returns Using Gh Skew Students T Distribution full books in PDF, epub, and Kindle. Read online free An Empirical Application Of Stochastic Volatility Models To Latin American Stock Returns Using Gh Skew Students T Distribution ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads.
Author |
: |
Publisher |
: |
Total Pages |
: |
Release |
: 2015 |
ISBN-10 |
: OCLC:927829395 |
ISBN-13 |
: |
Rating |
: 4/5 (95 Downloads) |
Synopsis An Empirical Application of Stochastic Volatility Models to Latin-American Stock Returns Using GH Skew Student's T-distribution by :
Author |
: |
Publisher |
: |
Total Pages |
: |
Release |
: 2015 |
ISBN-10 |
: OCLC:935809419 |
ISBN-13 |
: |
Rating |
: 4/5 (19 Downloads) |
Synopsis A Stochastic Volatility Model with GH Skew Student's T-distribution by :
Author |
: Gabriel Rodriguez |
Publisher |
: |
Total Pages |
: |
Release |
: 2016 |
ISBN-10 |
: OCLC:959362806 |
ISBN-13 |
: |
Rating |
: 4/5 (06 Downloads) |
Synopsis Modeling Latin-American Stock and Forex Markets Volatility by : Gabriel Rodriguez
Author |
: Jouchi Nakajima |
Publisher |
: |
Total Pages |
: 28 |
Release |
: 2008 |
ISBN-10 |
: UCSD:31822037271707 |
ISBN-13 |
: |
Rating |
: 4/5 (07 Downloads) |
Synopsis EGARCH and Stochastic Volatility by : Jouchi Nakajima
"This paper proposes the EGARCH [Exponential Generalized Autoregressive Conditional Heteroskedasticity] model with jumps and heavy-tailed errors, and studies the empirical performance of different models including the stochastic volatility models with leverage, jumps and heavy-tailed errors for daily stock returns. In the framework of a Bayesian inference, the Markov chain Monte Carlo estimation methods for these models are illustrated with a simulation study. The model comparison based on the marginal likelihood estimation is provided with data on the U.S. stock index."--Author's abstract.
Author |
: Miguel Ataurima Arellano |
Publisher |
: |
Total Pages |
: |
Release |
: 2016 |
ISBN-10 |
: OCLC:1006385851 |
ISBN-13 |
: |
Rating |
: 4/5 (51 Downloads) |
Synopsis Empirical modelling of latin american stock markets returns and volatility using Markov - Switching garch models by : Miguel Ataurima Arellano
Author |
: Alejandro Islas Camargo |
Publisher |
: |
Total Pages |
: 56 |
Release |
: 2000 |
ISBN-10 |
: OCLC:50170604 |
ISBN-13 |
: |
Rating |
: 4/5 (04 Downloads) |
Synopsis Long Memory Stochastic Volatility Models of Latin American Stock Markets by : Alejandro Islas Camargo
Author |
: José Carlos Gonzáles Tanaka |
Publisher |
: |
Total Pages |
: |
Release |
: 2016 |
ISBN-10 |
: OCLC:959362353 |
ISBN-13 |
: |
Rating |
: 4/5 (53 Downloads) |
Synopsis An Empirical Application of a Random Level Shifts Model with Time-varying Probability and Mean Reversion to the Volatility of Latin-American Forex Markets Returns by : José Carlos Gonzáles Tanaka
Author |
: Miguel Ataurima Arellano |
Publisher |
: |
Total Pages |
: 56 |
Release |
: 2017 |
ISBN-10 |
: OCLC:1039680800 |
ISBN-13 |
: |
Rating |
: 4/5 (00 Downloads) |
Synopsis Empirical Modeling of Latin American Stock and Forex Markets Returns and Volatility Using Markov-Switching Garch Models by : Miguel Ataurima Arellano
Author |
: Chang Sun (M.S. in Statistics) |
Publisher |
: |
Total Pages |
: 96 |
Release |
: 2016 |
ISBN-10 |
: OCLC:973021598 |
ISBN-13 |
: |
Rating |
: 4/5 (98 Downloads) |
Synopsis Modeling Stock Volatility with Stochastic ARCH, GARCH and Stochastic Volatility Model by : Chang Sun (M.S. in Statistics)
Modeling volatility within the log stock return is key to the stock price prediction. Despite numerous researches that modeled the volatility with conditional heavy-tailed error distributions, the unconditional distribution remains unknown. In this report, we use and follow the method introduced by Pitt and Walker (2005) by assigning a Student-t distribution for the marginal density of log return and constructing three models respectively, with similar structures to Autoregressive Conditional Heteroskedasticity (ARCH), Generalized ARCH (GARCH) and Stochastic Volatility model in a Bayesian way. We demonstrate the capability of the three models for stock price prediction with S&P 500 index and show that all our models outperform the standard GARCH model (Bollerslev, 1986).
Author |
: Victor Silverio Posadas Hernandez |
Publisher |
: Springer Science & Business Media |
Total Pages |
: 205 |
Release |
: 2007-11-03 |
ISBN-10 |
: 9783835091030 |
ISBN-13 |
: 3835091034 |
Rating |
: 4/5 (30 Downloads) |
Synopsis Stock Market Anomalies by : Victor Silverio Posadas Hernandez
Victor Silverio Posadas Hernandez explores three sets of questions: What are the investment laws in the Latin American emerging markets (LAEM) and how do they compare to those of developed countries? How heterogeneous are the implicit trading costs in the LAEM and which factors are responsible for the heterogeneity? How does the predictability of stock returns in the LAEM differ from those documented for developed markets?