Bayesian Estimation of ARCH-Type Volatility Models

Empirical evidence abounds that asset returns exhibit characteristics such as volatility clustering, asymmetry, and heavy‐tailedness. Volatility clustering describes the tendency of returns to alternate between periods of high volatility and low volatility. In addition, volatility responds asymmetri...

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Bibliographische Detailangaben

Hauptverfasser:	Güner, Biliana S., Rachev, Svetlozar, Hsu, John S. J., Fabozzi, Frank J.
Format:	Reference Entry
Sprache:	eng
Online-Zugang:	Volltext
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