Article ID Journal Published Year Pages File Type
5096933 Journal of Econometrics 2010 15 Pages PDF
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
,