The stochastic volatility model with random jumps and its application to BRL/USD exchange rate (2014)
- Authors:
- USP affiliated authors: LAURINI, MARCIO POLETTI - FEARP
- Unidades: FEARP
- Subjects: ECONOMIA; CRISES; TAXA DE CÂMBIO; PROCESSOS ESTOCÁSTICOS; INFERÊNCIA BAYESIANA
- Language: Inglês
- Imprenta:
- Source:
- Título do periódico: Economics Bulletin
- ISSN: 1545-2921
- Volume/Número/Paginação/Ano: v. 34, n. 2, p. 1002-1011, 2014
-
ABNT
LAURINI, Márcio Poletti; MAUAD, Roberto Baltieri. The stochastic volatility model with random jumps and its application to BRL/USD exchange rate. Economics Bulletin, Nashville, v. 34, n. 2, p. 1002-1011, 2014. Disponível em: < http://www.accessecon.com/Pubs/EB/2014/Volume34/EB-14-V34-I2-P92.pdf >. -
APA
Laurini, M. P., & Mauad, R. B. (2014). The stochastic volatility model with random jumps and its application to BRL/USD exchange rate. Economics Bulletin, 34( 2), 1002-1011. Recuperado de http://www.accessecon.com/Pubs/EB/2014/Volume34/EB-14-V34-I2-P92.pdf -
NLM
Laurini MP, Mauad RB. The stochastic volatility model with random jumps and its application to BRL/USD exchange rate [Internet]. Economics Bulletin. 2014 ; 34( 2): 1002-1011.Available from: http://www.accessecon.com/Pubs/EB/2014/Volume34/EB-14-V34-I2-P92.pdf -
Vancouver
Laurini MP, Mauad RB. The stochastic volatility model with random jumps and its application to BRL/USD exchange rate [Internet]. Economics Bulletin. 2014 ; 34( 2): 1002-1011.Available from: http://www.accessecon.com/Pubs/EB/2014/Volume34/EB-14-V34-I2-P92.pdf - A continuous spatio-temporal model for house prices in the USA
- A dynamic econometric model for inflationary inertia in Brazil
- A hybrid data cloning maximum likelihood estimator for stochastic volatility models
- A noisy principal component analysis for forward rate curves
- Arbitrage in the term structure of interest rates: a Bayesian approach
- A spatial error model with continuous random effects and an application to growth convergence
- A macro-finance term structure model with multivariate stochastic volatility
- A common jump factor stochastic volatility model
- Poverty elasticity: a note on a new empirical approach
- Dynamic functional data analysis with non-parametric state space models
How to cite
A citação é gerada automaticamente e pode não estar totalmente de acordo com as normas
