New volatility models under a Bayesian perspective: a case study

New volatility models under a Bayesian perspective: a case study

Show other versions (1)

Neste artigo, apresentamos uma breve descrição dos modelos ARCH, GARCH e EGARCH. Normalmente, as estimativas dos parâmetros desses modelos são obtidos através de métodos de máxima verossimilhança. Considerando-se novos processos metodológicos para modelar as volatilidades das séries temporais, prec...

Full description

Bibliographic Details
Main Authors:	Edilberto Cepeda Cuervo, Jorge Alberto Achcar, Milton Barossi-Filho
Format:	Article
Language:	Portuguese
Published:	Universidade de São Paulo 2014-06-01
Series:	Economia Aplicada
Online Access:	http://www.revistas.usp.br/ecoa/article/view/87957

Similar Items

New volatility models under a Bayesian perspective: a case study
by: Edilberto Cepeda Cuervo, et al.
Published: (2014-06-01)

Multivariate volatility models: an application to IBOVESPA and Dow Jones Industrial
by: Barossi-Filho Milton, et al.
Published: (2012-09-01)

Regression Models with Heteroscedasticity using Bayesian Approach Modelos de regresión heterocedásticos usando aproximación bayesiana
by: JORGE ALBERTO ACHCAR, et al.
Published: (2009-01-01)

Seasonal Hydrological and Meteorological Time Series
by: Edilberto Cepeda Cuervo, et al.
Published: (2018-04-01)

Modelos de volatilidade estocástica em séries financeiras: uma aplicação para o IBOVESPA
by: Milton Barossi-Filho, et al.
Published: (2010-03-01)

Modelos de volatilidade estocástica em séries financeiras: uma aplicação para o IBOVESPA
by: Milton Barossi-Filho, et al.
Published: (2010-03-01)

Trends in epidemiology in the 21st century: time to adopt Bayesian methods
by: Edson Zangiacomi Martinez, et al.
Published: (2014-04-01)

Generalized exponential distribution: A Bayesian approach using MCMC methods
by: Jorge Alberto Achcar, et al.
Published: (2015-01-01)

Bayesian Analysis of a Stochastic Volatility Model
by: Meng, Yu
Published: (2009)

Daily counting of manufactured units sent for quality control: a bayesian approach
by: Jorge Alberto Achcar, et al.
Published: (2013-08-01)

Bayesian Inference for Stochastic Volatility Models
by: Men, Zhongxian
Published: (2012)

Bayesian Inference for Stochastic Volatility Models
by: Men, Zhongxian
Published: (2012)

Estudo da prevalência da tuberculose: uso de métodos bayesianos Study of the prevalence of tuberculosis using Bayesian methods
by: Jorge Alberto Achcar, et al.
Published: (2003-12-01)

The leverage effect in stochastic volatility: new models, Bayesian inference, and model selection
by: Mehrabian, Amanollah
Published: (2012)

Use of Stochastic Volatility Models in Epidemiological Data: Application to a Dengue Time Series in São Paulo City, Brazil
by: Jorge Alberto Achcar, et al.
Published: (2020-10-01)

Bayesian Inference for Two-Parameter Gamma Distribution Assuming Different Noninformative Priors
by: FERNANDO ANTONIO MOALA, et al.
Published: (2013-12-01)

Factores asociados a la calidad de la educación
by: Edilberto Cepeda Cuervo, et al.
Published: (2007-07-01)

A Bayesian Analysis in the Presence of Covariates for Multivariate Survival Data: An example of Application Análisis bayesiano en presencia de covariables para datos de sobrevivencia multivariados: un ejemplo de aplicación
by: JORGE ALBERTO ACHCAR, et al.
Published: (2011-01-01)

Modelos ARCH, GARCH y EGARCH: aplicaciones a series financieras
by: Cepeda Cuervo Edilberto, et al.
Published: (2008-08-01)

USE OF STOCHASTIC VOLATILITY MODELS IN THE VARIABILITY OF PASSENGERS AND CARGO TRANSPORT IN SOME AIRPORTS IN SÃO PAULO STATE, BRAZIL
by: Jorge Alberto Achcar, et al.

Efficient Bayesian Interference for Stochastic Volatility
by: Kastner, Gregor
Published: (2016)

MODELING ABILITIES IN 3-IRT MODELS MODELAMIENTO DE HABILIDADES EN MODELOS 3-IRT DE RESPUESTA AL ITEM
by: Cepeda Cuervo Edilberto, et al.
Published: (2004-05-01)

Modelling financial volatility using Bayesian and conventional methods
by: Li, Xuguang
Published: (2016)

Bayesian inference for volatility models in financial time series
by: Surapaitoolkorn, Wantanee
Published: (2006)

“Exact” and Approximate Methods for Bayesian Inference: Stochastic Volatility Case Study
by: Yuliya Shapovalova
Published: (2021-04-01)

Acoso escolar: caracterización, consecuencias y prevención
by: Edilberto Cepeda-Cuervo, et al.
Published: (2013-03-01)

Threshold Stochastic Volatility Models with Heavy Tails: A Bayesian Approach
by: Carlos A. Abanto-Valle, et al.
Published: (2019-09-01)

Risk Evaluation of Banking Index with Volatility Estimation through Stochastic Volatility Model: A Semiparametric Bayesian Approach
by: Rasoul Sajjad, et al.
Published: (2017-04-01)

Comparing the Forecasting of Cryptocurrencies by Bayesian Time-Varying Volatility Models
by: Rick Bohte, et al.
Published: (2019-09-01)

Efficient Bayesian Inference for Multivariate Factor Stochastic Volatility Models
by: Kastner, Gregor, et al.
Published: (2016)

Double Generalized Beta-Binomial and Negative Binomial Regression Models
by: EDILBERTO CEPEDA-CUERVO, et al.
Published: (2017-01-01)

Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis
by: Mark J. Jensen, et al.
Published: (2018-09-01)

GARMA models, a new perspective using Bayesian methods and transformations
by: Andrade, Breno Silveira de
Published: (2017)

GARMA models, a new perspective using Bayesian methods and transformations
by: Breno Silveira de Andrade
Published: (2016)

GARMA models, a new perspective using Bayesian methods and transformations
by: Andrade, Breno Silveira de
Published: (2016)

Three Essays on Volatility Measurement and Modeling with Price Limits: A Bayesian Approach
by: Gao, RUI
Published: (2014)

A useful empirical Bayesian method to analyse industrial data from saturated factorial designs
by: Sergio Minoru Oikawa, et al.
Published: (2013-06-01)

A New Value at Risk Estimation under the phenomenon of volatility clustering and heteroscedastic volatility.
by: Hsieh-Heng HUNG, et al.
Published: (2005)

Empirical Bayesian Analysis on the Value at Risk of Threshold Stochastic Volatility Models.
by: Yi-Fu Wang, et al.
Published: (2005)

Bayesian econometric modelling of informed trading, bid-ask spread and volatility
by: Oduro, Samuel Dua
Published: (2016)