Bayesian vector auto-regression model with Laplace errors applied to financial market data

Result code in IS VaVaI
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Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Bayesian vector auto-regression model with Laplace errors applied to financial market data
Original language description
The article presents alternative version of Bayesian vector auto-regression model with Laplace distributed innovations. Bayesian estimation in such model is more computationally demanding than estimation in a model with normally distributed innovations,but because of the heavier tails of Laplace distribution, it is more robust. In the article I try to present the way of proceeding with the estimation, obtaining a full posterior distribution of the parameters as a result. At the end an efficient algorithm is sketched, but this part of the research is still unfinished.
Czech name
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Czech description
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Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
Z - Vyzkumny zamer (s odkazem do CEZ)

Publication year
2010
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Proceedings of Mathematical Methods in Economics 2010
ISBN
978-80-7394-218-2
ISSN
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e-ISSN
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Number of pages
7
Pages from-to
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Publisher name
University of South Bohemia, Faculty of Economics
Place of publication
České Budějovice
Event location
České Budějovice
Event date
Sep 8, 2010
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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