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pro vyhledávání: '"Anderson C. O. Motta"'
Autor:
Anderson C. O. Motta, Luiz Koodi Hotta
Publikováno v:
Advances and Applications in Statistics. 27:27-45
Autor:
Anderson C. O. Motta, Luiz Koodi Hotta
Publikováno v:
The São Paulo Journal of Mathematical Sciences. 8:169
Because the volatility of nancial asset returns tends to arrive in clusters, it is quite likely that outliers appear in patches. In this case, most of the statistical tests developed to detect outliers have low power. We propose to use the posterior
Autor:
Anderson C. O. Motta, Luiz Koodi Hotta
Publikováno v:
Brazilian Review of Econometrics. 23:183
This paper considers the classical and Bayesian approaches to the estimation of the stochastic volatility (SV) model. The estimation procedures rely heavily on the fact that SV model can be written in the State Space Form (SSF) with non-Ga ussian dis