Comparison between the complete Bayesian method and empirical Bayesian method for ARCH models using Brazilian financial time series
In this work we compared the estimates of the parameters of ARCH models using a complete Bayesian method and an empirical Bayesian method in which we adopted a non-informative prior distribution and informative prior distribution, respectively. We also considered a reparameterization of those models...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Sociedade Brasileira de Pesquisa Operacional
2012-08-01
|
| Series: | Pesquisa Operacional |
| Subjects: | |
| Online Access: | http://www.scielo.br/scielo.php?script=sci_arttext&pid=S0101-74382012000200003&lng=en&tlng=en |