Bayesian modeling of financial returns: a relationship between volatility and trading volume

dc.contributor.authorAbanto-Valle, Carlos A.
dc.contributor.authorMigon, Helio S.
dc.contributor.authorHEDIBERT FREITAS LOPES
dc.coverage.cidadeNão informadopt_BR
dc.coverage.paisNão Informadopt_BR
dc.creatorAbanto-Valle, Carlos A.
dc.creatorMigon, Helio S.
dc.date.accessioned2022-10-04T20:47:42Z
dc.date.available2022-10-04T20:47:42Z
dc.date.issued2010
dc.description.otherThe modified mixture model with Markov switching volatility specification is introduced to analyze the relationship between stock return volatility and trading volume. We propose to construct an algorithm based on Markov chain Monte Carlo simulation methods to estimate all the parameters in the model using a Bayesian approach. The series of returns and trading volume of the British Petroleum stock will be analyzed.pt_BR
dc.format.extentp. 172-193pt_BR
dc.format.mediumDigitalpt_BR
dc.identifier.doi10.1002/asmb.789pt_BR
dc.identifier.urihttps://repositorio.insper.edu.br/handle/11224/4133
dc.identifier.volume26pt_BR
dc.language.isoInglêspt_BR
dc.publisherNão informadopt_BR
dc.relation.ispartofApplied Stochastic Models in Business and Industrypt_BR
dc.rights.licenseO INSPER E ESTE REPOSITÓRIO NÃO DETÊM OS DIREITOS DE USO E REPRODUÇÃO DOS CONTEÚDOS AQUI REGISTRADOS. É RESPONSABILIDADE DOS USUÁRIOS INDIVIDUAIS VERIFICAR OS USOS PERMITIDOS NA FONTE ORIGINAL, RESPEITANDO-SE OS DIREITOS DE AUTOR OU EDITOR.pt_BR
dc.subject.keywordsstochastic volatilitypt_BR
dc.subject.keywordsnonlinear and non-Gaussian state space modelspt_BR
dc.subject.keywordsMarkov process of first orderpt_BR
dc.subject.keywordsMarkov chain Monte Carlopt_BR
dc.titleBayesian modeling of financial returns: a relationship between volatility and trading volumept_BR
dc.typejournal article
dspace.entity.typePublication
local.subject.cnpqCiências Sociais Aplicadaspt_BR
local.typeArtigo Científicopt_BR
relation.isAuthorOfPublication41f844cb-0e5a-4ef1-bb19-5ab1cec8e2ca
relation.isAuthorOfPublication.latestForDiscovery41f844cb-0e5a-4ef1-bb19-5ab1cec8e2ca
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