Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5096933 | Journal of Econometrics | 2010 | 15 Pages |
Abstract
A full Bayesian analysis of unobserved components will be presented for financial high frequency data. Particularly, a three component model (long-term, intra-daily and short-term) will be analyzed to emphasize the importance and the potential of this work when dealing with the Value-at-Risk analysis. A second astronomical application will show how to deal with multiple periodicities.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Christian Macaro,