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DC Field | Value | Language |
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dc.contributor.author | de Oliveira, Sandra Cristina | - |
dc.contributor.author | de Andrade, Marinho Gomes | - |
dc.date.accessioned | 2014-05-27T11:29:00Z | - |
dc.date.accessioned | 2016-10-25T18:47:42Z | - |
dc.date.available | 2014-05-27T11:29:00Z | - |
dc.date.available | 2016-10-25T18:47:42Z | - |
dc.date.issued | 2013-04-25 | - |
dc.identifier | http://dx.doi.org/10.4025/actascitechnol.v35i2.13547 | - |
dc.identifier.citation | Acta Scientiarum - Technology, v. 35, n. 2, p. 339-347, 2013. | - |
dc.identifier.issn | 1806-2563 | - |
dc.identifier.issn | 1807-8664 | - |
dc.identifier.uri | http://hdl.handle.net/11449/75170 | - |
dc.identifier.uri | http://acervodigital.unesp.br/handle/11449/75170 | - |
dc.description.abstract | Current research compares the Bayesian estimates obtained for the parameters of processes of ARCH family with normal and Student's t distributions for the conditional distribution of the return series. A non-informative prior distribution was adopted and a reparameterization of models under analysis was taken into account to map parameters' space into real space. The procedure adopts a normal prior distribution for the transformed parameters. The posterior summaries were obtained by Monte Carlo Markov Chain (MCMC) simulation methods. The methodology was evaluated by a series of Bovespa Index returns and the predictive ordinate criterion was employed to select the best adjustment model to the data. Results show that, as a rule, the proposed Bayesian approach provides satisfactory estimates and that the GARCH process with Student's t distribution adjusted better to the data. | en |
dc.format.extent | 339-347 | - |
dc.language.iso | eng | - |
dc.language.iso | por | - |
dc.source | Scopus | - |
dc.subject | ARCH family | - |
dc.subject | Bayesian analysis | - |
dc.subject | Financial returns | - |
dc.subject | MCMC methods | - |
dc.title | Modelos estocásticos com heterocedasticidade: Uma abordagem Bayesiana para os retornos do Ibovespa | pt |
dc.title.alternative | Stochastic models with heteroskedasticity: A Bayesian approach for Ibovespa returns | en |
dc.type | outro | - |
dc.contributor.institution | Universidade Estadual Paulista (UNESP) | - |
dc.contributor.institution | Universidade de São Paulo (USP) | - |
dc.description.affiliation | Campus Experimental de Tupã Universidade Estadual Paulista, Av. Domingos da Costa Lopes, 780, 17602-660, Tupã, São Paulo | - |
dc.description.affiliation | Instituto de Ciências Matemáticas e de Computação Universidade de São Paulo, São Carlos, São Paulo | - |
dc.description.affiliationUnesp | Campus Experimental de Tupã Universidade Estadual Paulista, Av. Domingos da Costa Lopes, 780, 17602-660, Tupã, São Paulo | - |
dc.identifier.doi | 10.4025/actascitechnol.v35i2.13547 | - |
dc.identifier.wos | WOS:000322540600019 | - |
dc.rights.accessRights | Acesso aberto | - |
dc.identifier.file | 2-s2.0-84876432682.pdf | - |
dc.relation.ispartof | Acta Scientiarum: Technology | - |
dc.identifier.scopus | 2-s2.0-84876432682 | - |
Appears in Collections: | Artigos, TCCs, Teses e Dissertações da Unesp |
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