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| Type: | Artigo Científico |
| Title: | Bayesian modeling of financial returns: a relationship between volatility and trading volume |
| Author: | Abanto-Valle, Carlos A. Migon, Helio S. Lopes, Hedibert Freitas |
| Publication Date: | 2010 |
| Abstract: | The 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. |
| Keywords (english terms): | stochastic volatility nonlinear and non-Gaussian state space models Markov process of first order Markov chain Monte Carlo |
| Language: | Inglês |
| CNPq Area: | Ciências Sociais Aplicadas |
| Copyright: | O 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. |
| Appears in Collections: | Coleção de Artigos Científicos |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| R_2010_Bayesian modeling of financial returns_TC.pdf | R_2010_Bayesian modeling of financial returns_TC | 479.26 kB | Adobe PDF | View/Open |
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