Bayesian Markov Chain Monte Carlo for reparameterized Stochastic volatility models using Asian FX rates during Covid-19

In this paper, reparameterization and student-t are applied to Stochastic Volatility (SV) model. We aim to reduce the amount of autocorrelation of the SV parameters and to introduce heavy-tailed model via the Bayesian computation of the Markov Chain Monte Carlo (MCMC) samplers. This research paper h...

Descripción completa

Detalles Bibliográficos
Autor principal: Poonvoralak, Wantanee
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Taylor & Francis 2022
Materias:
Application Notes
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10228328/
https://www.ncbi.nlm.nih.gov/pubmed/37260472
http://dx.doi.org/10.1080/02664763.2022.2064440

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10228328/
https://www.ncbi.nlm.nih.gov/pubmed/37260472
http://dx.doi.org/10.1080/02664763.2022.2064440

Ejemplares similares