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Title: Bayesian analysis of FIAPARCH model: an application to São Paulo stock market
Author: Safadi, Thelma
Pereira, Isabel
Keywords: Asymmetry
Long memory
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
ISSN: 0975-556X
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Appears in Collections:DMat - Artigos

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