Bayesian Analysis of Stochastic Volatility Model by OpenBUGS

Автори

This article illustrates Bayesian analysis of stochastic volatility models of daily dollar/hrivna exchange rates from 10/24/2006 to 4/15/2011, using a package of applied programs OpenBUGS. In addition, we determine that the estimation is completely accurate with acceptable computational cost as well as characterized by convergence at a given time gap.

Publication year: 
2011
Issue: 
2
УДК: 
519.766.4
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