Zobrazeno 1 - 5
of 5
pro vyhledávání: '"Giakoumatos, Stefanos G."'
Publikováno v:
Statistics and Computing
Stat.Comput.
Stat.Comput.
The Unobserved ARCH model is a good description of the phenomenon of changing volatility that is commonly appeared in the financial time series. We study this model adopting Bayesian inference via Markov Chain Monte Carlo (MCMC). In order to provide
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::eb3c9870d733be142ac88a8ffb14f3e3
https://doi.org/10.1007/s11222-005-6202-9
https://doi.org/10.1007/s11222-005-6202-9
Autor:
Giakoumatos, Stefanos G., Vrontos, Ioannis D., Dellaportas, Petros, Politis, Dimitris Nicolas
Publikováno v:
Journal of Computational and Graphical Statistics
J.Comput.Graph.Stat.
J.Comput.Graph.Stat.
A new diagnostic procedure for assessing convergence of a Markov chain Monte Carlo (MCMC) simulation is proposed. The method is based on the use of subsampling for the construction of confidence regions from asymptotically stationary time series as d
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f95fc42a79af6fe8fbeae005d9605a9c
https://doi.org/10.1080/10618600.1999.10474825
https://doi.org/10.1080/10618600.1999.10474825
Autor:
Vrontos, Ioannis D., Giakoumatos, Stefanos G., Dellaportas, Petros, Politis, Dimitris Nicolas
Publikováno v:
Applied Stochastic Models in Business and Industry
Appl Stochastic Models Bus Indus
Appl Stochastic Models Bus Indus
The multivariate time-varying volatility models have recently attracted a lot of attention in the statistics/econometrics community. We apply two bivariate ARCH–GARCH models and a bivariate unobserved ARCH model to a series of exchange rates, and w
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1893a04181af4a0ae97d87e4c7084169
http://gnosis.library.ucy.ac.cy/handle/7/57763
http://gnosis.library.ucy.ac.cy/handle/7/57763
Autor:
Vrontos, Ioannis D., Giakoumatos, Stefanos G., Dellaportas, Petros, Politis, Dimitris Nicolas
Publikováno v:
Applied Stochastic Models in Business and Industry
Appl Stochastic Models Bus Indus
Appl Stochastic Models Bus Indus
The multivariate time-varying volatility models have recently attracted a lot of attention in the statistics/econometrics community. We apply two bivariate ARCH-GARCH models and a bivariate unobserved ARCH model to a series of exchange rates, and we
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______4485::059f703a21e56f14f4a64dcc191ab231
http://gnosis.library.ucy.ac.cy/handle/7/57762
http://gnosis.library.ucy.ac.cy/handle/7/57762
Publikováno v:
Violence & Aggression in Sporting Contests; 2012, p155-174, 20p