Browsing by Subject "Markov chain Monte Carlo"

Now showing items 1-2 of 2

    • Article  

      Bayesian analysis of the unobserved ARCH model 

      Giakoumatos, Stefanos G.; Dellaportas, Petros; Politis, Dimitris Nicolas (2005)
      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 ...
    • Article  

      Inference for Some Multivariate ARCH and GARCH Models 

      Vrontos, Ioannis D.; Dellaportas, Petros; Politis, Dimitris Nicolas (2003)
      Multivariate time-varying volatility models have attracted a lot of attention in modern finance theory. We provide an empirical study of some multivariate ARCH and GARCH models that already exist in the literature and have ...