An Adaptive Markov Chain Monte Carlo Method for GARCH Model
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- Tetsuya Takaishi, 2017. "Statistical properties and multifractality of Bitcoin," Papers 1707.07618, arXiv.org, revised Jul 2017.
- Tetsuya Takaishi, 2014. "Analysis of Spin Financial Market by GARCH Model," Papers 1409.0118, arXiv.org.
- Ting Ting Chen & Tetsuya Takaishi, 2013. "Empirical Study of the GARCH model with Rational Errors," Papers 1312.7057, arXiv.org.
- Tetsuya Takaishi, 2013. "Empirical Analysis of Stochastic Volatility Model by Hybrid Monte Carlo Algorithm," Papers 1305.3184, arXiv.org.
- Takaishi, Tetsuya, 2017. "Rational GARCH model: An empirical test for stock returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 473(C), pages 451-460.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2009-09-26 (All new papers)
- NEP-ECM-2009-09-26 (Econometrics)
- NEP-ETS-2009-09-26 (Econometric Time Series)
- NEP-ORE-2009-09-26 (Operations Research)
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