Stochastic Volatility in Mean: Empirical evidence from Latin-American stock markets using Hamiltonian Monte Carlo and Riemann Manifold HMC methods

Author:

Abanto-Valle Carlos A.,Rodríguez GabrielORCID,Garrafa-Aragón Hernán B.

Funder

Fundação Carlos Chagas Filho de Amparo à Pesquisa do Estado do Rio de Janeiro

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference46 articles.

1. Stochastic volatility in mean models with scale mixtures of normal distributions and correlated errors: A bayesian approach;Abanto-Valle;Journal of Statistical Planning and Inference,2011

2. Stochastic volatility in mean models with heavy-tailed distributions;Abanto-Valle;Brazilian Journal of Probability and Statistics,2012

3. Maximum likelihood estimation for stochastic volatility in mean models with heavy-tailed distributions;Abanto-Valle;Applied Stochastic Models in Business and Industry,2017

4. Asymmetric volatility and risk in equity markets;Bekaert;Review of Financial Studies,2000

5. Studies of stock price volatility changes;Black;Proceedings of the 1976 meetings of the American statistical association, business and economical statistics section,1976

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