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A comparative study of two models SV with MCMC algorithm

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  • Ahmed Hachicha

    ()

  • Fatma Hachicha

    ()

  • Afif Masmoudi

    ()

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    Abstract

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    File URL: http://hdl.handle.net/10.1007/s11156-011-0236-1
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    Bibliographic Info

    Article provided by Springer in its journal Review of Quantitative Finance and Accounting.

    Volume (Year): 38 (2012)
    Issue (Month): 4 (May)
    Pages: 479-493

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    Handle: RePEc:kap:rqfnac:v:38:y:2012:i:4:p:479-493

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    Web page: http://springerlink.metapress.com/link.asp?id=102990

    Related research

    Keywords: Autoregression; MCMC; Stochastic volatility; Student’s t-distribution; SVOL; C11; C15; C22; G12;

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    References

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    1. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, Econometric Society, vol. 50(4), pages 987-1007, July.
    2. Hwang, Soosung & Salmon, Mark, 2004. "Market stress and herding," Journal of Empirical Finance, Elsevier, Elsevier, vol. 11(4), pages 585-616, September.
    3. Manabu Asai & Michael McAleer & Jun Yu, 2006. "Multivariate Stochastic Volatility: A Review," Econometric Reviews, Taylor & Francis Journals, Taylor & Francis Journals, vol. 25(2-3), pages 145-175.
    4. Manabu Asai & Michael McAleer, 2006. "Asymmetric Multivariate Stochastic Volatility," Econometric Reviews, Taylor & Francis Journals, Taylor & Francis Journals, vol. 25(2-3), pages 453-473.
    5. Esfandiar Maasoumi & Michael McAleer, 2006. "Multivariate Stochastic Volatility: An Overview," Econometric Reviews, Taylor & Francis Journals, Taylor & Francis Journals, vol. 25(2-3), pages 139-144.
    6. Siddhartha Chib & Yasuhiro Omori & Manabu Asai, 2007. "Multivariate stochastic volatility," CIRJE F-Series CIRJE-F-488, CIRJE, Faculty of Economics, University of Tokyo.
    7. Danielsson, Jon, 1994. "Stochastic volatility in asset prices estimation with simulated maximum likelihood," Journal of Econometrics, Elsevier, Elsevier, vol. 64(1-2), pages 375-400.
    8. Thomas J. O'Brien & Walter Dolde, 2000. "A currency index global capital asset pricing model," European Financial Management, European Financial Management Association, vol. 6(1), pages 7-18.
    9. Harvey, Andrew C & Shephard, Neil, 1996. "Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 14(4), pages 429-34, October.
    10. Chib, Siddhartha & Nardari, Federico & Shephard, Neil, 2002. "Markov chain Monte Carlo methods for stochastic volatility models," Journal of Econometrics, Elsevier, Elsevier, vol. 108(2), pages 281-316, June.
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