Bayesian latent autoregressive stochastic volatility: an application of naira to eleven exchangeable currencies rates

Bayesian latent autoregressive stochastic volatility: an application of naira to eleven exchangeable currencies rates

This paper provides a procedure for estimating Stochastic Volatility (SV) in financial time series via latent autoregressive in a Bayesian setting. A Gaussian distributional combined prior and posterior of all hyper-parameters (autoregressive coefficients) were specified such that the Markov Chain M...

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Bibliographic Details
Main Authors: R. O. Olanrewaju, J. F. Ojo, L. O. Adekola
Format: Article
Language:English
Published: Ptolemy Scientific Research Press 2020-11-01
Series:Open Journal of Mathematical Sciences
Subjects:
bayesian
gaussian
latent autoregressive
stochastic volatility (sv)
markov chain monte carlo (mcmc).
Online Access:https://pisrt.org/psr-press/journals/oms-vol-4-2020/bayesian-latent-autoregressive-stochastic-volatility-an-application-of-naira-to-eleven-exchangeable-currencies-rates/

Internet

https://pisrt.org/psr-press/journals/oms-vol-4-2020/bayesian-latent-autoregressive-stochastic-volatility-an-application-of-naira-to-eleven-exchangeable-currencies-rates/

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