Bayesian analysis of FIAPARCH model: an application to São Paulo stock market

Detalhes bibliográficos
Autor(a) principal: Safadi, Thelma
Data de Publicação: 2010
Outros Autores: Pereira, Isabel
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10773/4426
Resumo: In this paper, we develop a Bayesian analysis of a FIAPARCH(p,d,q) model for parameter estimation and conditional variance prediction. In order to study the inference problem we use the Metropolis-Hastings algorithm.This methodology is illustrated in a simulation study and it is applied to a set of observations concerning the returns of IBOVESPA values
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spelling Bayesian analysis of FIAPARCH model: an application to São Paulo stock marketAsymmetryLong memoryVolatilityIn this paper, we develop a Bayesian analysis of a FIAPARCH(p,d,q) model for parameter estimation and conditional variance prediction. In order to study the inference problem we use the Metropolis-Hastings algorithm.This methodology is illustrated in a simulation study and it is applied to a set of observations concerning the returns of IBOVESPA valuesCESER Publications2011-11-28T12:49:53Z2010-01-01T00:00:00Z2010info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10773/4426eng0975-556XSafadi, ThelmaPereira, Isabelinfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-05-06T03:33:43Zoai:ria.ua.pt:10773/4426Portal AgregadorONGhttps://www.rcaap.pt/oai/openairemluisa.alvim@gmail.comopendoar:71602024-05-06T03:33:43Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Bayesian analysis of FIAPARCH model: an application to São Paulo stock market
title Bayesian analysis of FIAPARCH model: an application to São Paulo stock market
spellingShingle Bayesian analysis of FIAPARCH model: an application to São Paulo stock market
Safadi, Thelma
Asymmetry
Long memory
Volatility
title_short Bayesian analysis of FIAPARCH model: an application to São Paulo stock market
title_full Bayesian analysis of FIAPARCH model: an application to São Paulo stock market
title_fullStr Bayesian analysis of FIAPARCH model: an application to São Paulo stock market
title_full_unstemmed Bayesian analysis of FIAPARCH model: an application to São Paulo stock market
title_sort Bayesian analysis of FIAPARCH model: an application to São Paulo stock market
author Safadi, Thelma
author_facet Safadi, Thelma
Pereira, Isabel
author_role author
author2 Pereira, Isabel
author2_role author
dc.contributor.author.fl_str_mv Safadi, Thelma
Pereira, Isabel
dc.subject.por.fl_str_mv Asymmetry
Long memory
Volatility
topic Asymmetry
Long memory
Volatility
description In this paper, we develop a Bayesian analysis of a FIAPARCH(p,d,q) model for parameter estimation and conditional variance prediction. In order to study the inference problem we use the Metropolis-Hastings algorithm.This methodology is illustrated in a simulation study and it is applied to a set of observations concerning the returns of IBOVESPA values
publishDate 2010
dc.date.none.fl_str_mv 2010-01-01T00:00:00Z
2010
2011-11-28T12:49:53Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10773/4426
url http://hdl.handle.net/10773/4426
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 0975-556X
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv CESER Publications
publisher.none.fl_str_mv CESER Publications
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv mluisa.alvim@gmail.com
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