Bayesian inference and model comparison for asymmetric smooth transition heteroskedastic models
โ Scribed by Richard Gerlach; Cathy W. S. Chen
- Book ID
- 106537191
- Publisher
- Springer US
- Year
- 2008
- Tongue
- English
- Weight
- 763 KB
- Volume
- 18
- Category
- Article
- ISSN
- 0960-3174
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
In Bayesian analysis of vector autoregressive models, and especially in forecasting applications, the Minnesota prior of Litterman is frequently used. In many cases other prior distributions provide better forecasts and are preferable from a theoretical standpoint. Several of these priors require nu
## Abstract In this paper, we describe a general method for constructing the posterior distribution of the mean and volatility of the return of an asset satisfying d__S__=__S__d__X__ for some simple models of __X__. Our framework takes as inputs the prior distributions of the parameters of the stoc