Approximate Bayesian Estimation of Stochastic Volatility in Mean Models Using Hidden Markov Models: Empirical Evidence from Emerging and Developed Markets-Reference-Cited by-同舟云学术

Approximate Bayesian Estimation of Stochastic Volatility in Mean Models Using Hidden Markov Models: Empirical Evidence from Emerging and Developed Markets

Published:2023-11-03 Issue: Volume: Page:
ISSN:0927-7099
Container-title:Computational Economics
language:en
Short-container-title:Comput Econ

Author:

Abanto-Valle Carlos A.,Rodríguez Gabriel^ORCID,Castro Cepero Luis M.,Garrafa-Aragón Hernán B.

Funder

Faperj

Publisher

Springer Science and Business Media LLC

Subject

Computer Science Applications,Economics, Econometrics and Finance (miscellaneous)

Link

https://link.springer.com/content/pdf/10.1007/s10614-023-10490-4.pdf

Reference42 articles.

1. Abanto-Valle, C. A., Bandyopadhyay, D., Lachos, V. H., & Enriquez, I. (2010). Robust Bayesian analysis of heavy-tailed stochastic volatility models using scale mixtures of normal distributions. Computational Statistics and Data Analysis, 54, 2883–2898. https://doi.org/10.1016/j.csda.2009.06.011

2. Abanto-Valle, C. A., Langrock, R., Chen, M.-H., & Cardoso, M. V. (2017). Maximum likelihood estimation for stochastic volatility in mean models with heavy-tailed distributions. Applied Stochastic Models in Business and Industry, 33, 394–408. https://doi.org/10.1002/asmb.2246

3. Abanto-Valle, C. A., Migon, H. S., & Lachos, V. H. (2011). Stochastic volatility in mean models with scale mixtures of normal distributions and correlated errors: A Bayesian approach. Journal of Statistical Planning and Inference, 141, 1875–1887. https://doi.org/10.1016/j.jspi.2010.11.039

4. Abanto-Valle, C. A., Migon, H. S., & Lachos, V. H. (2012). Stochastic volatility in mean models with heavy-tailed distributions. Brazilian Journal of Probability and Statistics, 26, 402–422. https://doi.org/10.1214/11-BJPS169

5. Abanto-Valle, C. A., Rodríguez, G., & Garrafa-Aragón, H. B. (2021). Stochastic volatility in mean: Empirical evidence from Latin-american stock markets using Hamiltonian monte Carlo and Riemann manifold Hmc methods. The Quarterly Review of Economics and Finance, 80, 272–286. https://doi.org/10.1016/j.qref.2021.02.005