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 Bayesian analysis of FIAPARCH model: an application to São Paulo stock market
Please use this identifier to cite or link to this item http://hdl.handle.net/10773/4426

title: Bayesian analysis of FIAPARCH model: an application to São Paulo stock market
authors: Safadi, Thelma
Pereira, Isabel
keywords: Asymmetry
Long memory
Volatility
issue date: 2010
publisher: CESER Publications
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://hdl.handle.net/10773/4426
ISSN: 0975-556X
publisher version/DOI: http://www.ceser.in/ceserp/index.php/bse/article/view/534
source: International Journal of Statistics & Economics
appears in collectionsMAT - Artigos

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