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Gibbs Sampling for ARCH Models in Finance

  • Wolfgang Polasek
  • Peter Müller
Conference paper
Part of the Contributions to Statistics book series (CONTRIB.STAT.)

Abstract

The paper develops a simple estimation procedure for Bayesian ARCH models: The Gibbs-importance algorithm (also called independence chain) is applied for the simulation step involving the ARCH parameters. We demonstrate this approach to model the volatility between the Dollar, the DM and the Yen. An extension of the model to multivariate VAR-VARCH models is proposed.

Keywords

Exchange Rate Posterior Distribution Markov Chain Monte Carlo Algorithm Financial Time Series Arch Model 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag Berlin Heidelberg 1995

Authors and Affiliations

  • Wolfgang Polasek
    • 1
    • 2
  • Peter Müller
    • 1
    • 2
  1. 1.Institut für Statistik und ÖkonometrieUniversity of BaselBaselSwitzerland
  2. 2.Institute of Statistics and Decision SciencesDuke UniversityDurhamUSA

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