Modelos estocásticos com heterocedasticidade: Uma abordagem Bayesiana para os retornos do Ibovespa

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dc.contributor.authorde Oliveira, Sandra Cristina [UNESP]
dc.contributor.authorde Andrade, Marinho Gomes
dc.contributor.institutionUniversidade Estadual Paulista (Unesp)
dc.contributor.institutionUniversidade de São Paulo (USP)
dc.date.accessioned2014-05-27T11:29:00Z
dc.date.available2014-05-27T11:29:00Z
dc.date.issued2013-04-25
dc.description.abstractCurrent 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.description.affiliationCampus Experimental de Tupã Universidade Estadual Paulista, Av. Domingos da Costa Lopes, 780, 17602-660, Tupã, São Paulo
dc.description.affiliationInstituto de Ciências Matemáticas e de Computação Universidade de São Paulo, São Carlos, São Paulo
dc.description.affiliationUnespCampus Experimental de Tupã Universidade Estadual Paulista, Av. Domingos da Costa Lopes, 780, 17602-660, Tupã, São Paulo
dc.format.extent339-347
dc.identifierhttp://dx.doi.org/10.4025/actascitechnol.v35i2.13547
dc.identifier.citationActa Scientiarum - Technology, v. 35, n. 2, p. 339-347, 2013.
dc.identifier.doi10.4025/actascitechnol.v35i2.13547
dc.identifier.file2-s2.0-84876432682.pdf
dc.identifier.issn1806-2563
dc.identifier.issn1807-8664
dc.identifier.lattes1268945434870814
dc.identifier.orcid0000-0002-0968-0108
dc.identifier.scopus2-s2.0-84876432682
dc.identifier.urihttp://hdl.handle.net/11449/75170
dc.identifier.wosWOS:000322540600019
dc.language.isoeng
dc.language.isopor
dc.relation.ispartofActa Scientiarum: Technology
dc.relation.ispartofjcr0.231
dc.relation.ispartofsjr0,168
dc.relation.ispartofsjr0,168
dc.rights.accessRightsAcesso aberto
dc.sourceScopus
dc.subjectARCH family
dc.subjectBayesian analysis
dc.subjectFinancial returns
dc.subjectMCMC methods
dc.titleModelos estocásticos com heterocedasticidade: Uma abordagem Bayesiana para os retornos do Ibovespapt
dc.title.alternativeStochastic models with heteroskedasticity: A Bayesian approach for Ibovespa returnsen
dc.typeArtigo
dcterms.licensehttp://periodicos.uem.br/ojs/index.php/ActaSciTechnol/about/editorialPolicies#openAccessPolicy
unesp.author.lattes1268945434870814[1]
unesp.author.orcid0000-0002-0968-0108[1]
unesp.campusUniversidade Estadual Paulista (Unesp), Faculdade de Ciências e Engenharia, Tupãpt

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