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Bayesian Analysis Of Generalized Autoregressive Conditional Heteroskedasticity And Stochastic Volatility: Modeling Leverage, Jumps And Heavy‐Tails For Financial Time Series

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  • JOUCHI NAKAJIMA

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  • Jouchi Nakajima, 2012. "Bayesian Analysis Of Generalized Autoregressive Conditional Heteroskedasticity And Stochastic Volatility: Modeling Leverage, Jumps And Heavy‐Tails For Financial Time Series," The Japanese Economic Review, Japanese Economic Association, vol. 63(1), pages 81-103, March.
    • Handle: RePEc:bla:jecrev:v:63:y:2012:i:1:p:81-103
    DOI: j.1468-5876.2011.00537.x
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    Cited by:

    1. Willy Alanya & Gabriel Rodríguez, 2019. "Asymmetries in Volatility: An Empirical Study for the Peruvian Stock and Forex Markets," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 22(01), pages 1-18, March.
    2. Patricia Lengua Lafosse & Cristian Bayes & Gabriel Rodríguez, 2015. "A Stochastic Volatility Model with GH Skew Student’s t-Distribution: Application to Latin-American Stock Returns," Documentos de Trabajo / Working Papers 2015-405, Departamento de Economía - Pontificia Universidad Católica del Perú.
    3. Panagiotidis, Theodore & Papapanagiotou, Georgios & Stengos, Thanasis, 2024. "A Bayesian approach for the determinants of bitcoin returns," International Review of Financial Analysis, Elsevier, vol. 91(C).
    4. Makoto Nakakita & Teruo Nakatsuma, 2021. "Bayesian Analysis of Intraday Stochastic Volatility Models of High-Frequency Stock Returns with Skew Heavy-Tailed Errors," JRFM, MDPI, vol. 14(4), pages 1-29, March.
    5. Todd E. Clark & Francesco Ravazzolo, 2012. "The macroeconomic forecasting performance of autoregressive models with alternative specifications of time-varying volatility," Working Papers (Old Series) 1218, Federal Reserve Bank of Cleveland.
    6. Jesus Fernandez-Villaverde & Pablo Guerron-Quintana, 2020. "Uncertainty Shocks and Business Cycle Research," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 37, pages 118-166, August.
    7. Noriyuki Kunimoto & Kazuhiko Kakamu, 2021. "Is Bitcoin really a currency? A viewpoint of a stochastic volatility model," Papers 2111.15351, arXiv.org.
    8. Darjus Hosszejni & Gregor Kastner, 2019. "Modeling Univariate and Multivariate Stochastic Volatility in R with stochvol and factorstochvol," Papers 1906.12123, arXiv.org, revised Feb 2021.
    9. Theodore Panagiotidis & Georgios Papapanagiotou, 2024. "A note on the determinants of NFTs returns," Working Paper series 24-07, Rimini Centre for Economic Analysis.
    10. Lengua Lafosse, Patricia & Rodríguez, Gabriel, 2018. "An empirical application of a stochastic volatility model with GH skew Student's t-distribution to the volatility of Latin-American stock returns," The Quarterly Review of Economics and Finance, Elsevier, vol. 69(C), pages 155-173.

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