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 |
| Author: | 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 |
| Peer review: | yes |
| URI: | http://hdl.handle.net/10773/4426 |
| ISSN: | 0975-556X |
| Publisher Version: | http://www.ceser.in/ceserp/index.php/bse/article/view/534 |
| Appears in Collections: | DMat - Artigos |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| fiaparch.pdf | 440.49 kB | Adobe PDF | View/Open |
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