Bayesian Semiparametric Double Autoregressive Modeling

Bayesian Semiparametric Double Autoregressive Modeling

This paper proposes a Bayesian semiparametric modeling approach for the return distribution in double autoregressive models. Monte Carlo investigation of finite sample properties and an empirical application are presented. The results indicate that the semiparametric model developed in this paper is...

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Main Authors: Min Wang, Ji-Chun Liu
Format: Article
Language:English
Published: Hindawi Limited 2019-01-01
Series:Mathematical Problems in Engineering
Online Access:http://dx.doi.org/10.1155/2019/4267532
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spelling doaj-56098ca3be3b484b93c8362949430c3e2020-11-24T22:12:26ZengHindawi LimitedMathematical Problems in Engineering1024-123X1563-51472019-01-01201910.1155/2019/42675324267532Bayesian Semiparametric Double Autoregressive ModelingMin Wang0Ji-Chun Liu1School of Mathematical Sciences, Xiamen University, Xiamen 361005, ChinaSchool of Mathematical Sciences, Xiamen University, Xiamen 361005, ChinaThis paper proposes a Bayesian semiparametric modeling approach for the return distribution in double autoregressive models. Monte Carlo investigation of finite sample properties and an empirical application are presented. The results indicate that the semiparametric model developed in this paper is valuable and competitive.http://dx.doi.org/10.1155/2019/4267532
collection DOAJ
language English
format Article
sources DOAJ
author Min Wang
Ji-Chun Liu
spellingShingle Min Wang
Ji-Chun Liu
Bayesian Semiparametric Double Autoregressive Modeling
Mathematical Problems in Engineering
author_facet Min Wang
Ji-Chun Liu
author_sort Min Wang
title Bayesian Semiparametric Double Autoregressive Modeling
title_short Bayesian Semiparametric Double Autoregressive Modeling
title_full Bayesian Semiparametric Double Autoregressive Modeling
title_fullStr Bayesian Semiparametric Double Autoregressive Modeling
title_full_unstemmed Bayesian Semiparametric Double Autoregressive Modeling
title_sort bayesian semiparametric double autoregressive modeling
publisher Hindawi Limited
series Mathematical Problems in Engineering
issn 1024-123X
1563-5147
publishDate 2019-01-01
description This paper proposes a Bayesian semiparametric modeling approach for the return distribution in double autoregressive models. Monte Carlo investigation of finite sample properties and an empirical application are presented. The results indicate that the semiparametric model developed in this paper is valuable and competitive.
url http://dx.doi.org/10.1155/2019/4267532
work_keys_str_mv AT minwang bayesiansemiparametricdoubleautoregressivemodeling
AT jichunliu bayesiansemiparametricdoubleautoregressivemodeling
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