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Current Trends in Bayesian Methodology with Applications
book

Current Trends in Bayesian Methodology with Applications

by Satyanshu K. Upadhyay, Umesh Singh, Dipak K. Dey, Appaia Loganathan
May 2015
Intermediate to advanced content levelIntermediate to advanced
680 pages
22h 33m
English
Chapman and Hall/CRC
Content preview from Current Trends in Bayesian Methodology with Applications
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FIGURE 21.1
(a) Daily return (top) (b) log-volatility (bottom).
phenomenon of the negative correlation between today’s return a nd tomor-
row’s volatility observed in stock markets. Figure 21.1 shows the return (top)
and the po sterior mea n of log-volatiliy h
t
(bo ttom).
Next, we estimate the RSV model that consists of equations (21.20)–
(21.22). We use the log of realized kernel (RK) of S&P500 stock index obtained
from the Oxford–Man Ins titute’s ...
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Publisher Resources

ISBN: 9781482235128