Projects funded by the NCN
Bayesian SV Models with Markov Switching in the Analysis of Volatility on Financial Markets
2011/01/N/HS4/03105
Keywords:
stochastic volatility models Markov switching market risk analysis Bayesian inference time series analysis
Descriptors:
- HS4_3: Econometrics, statistical methods
- HS4_6: Financial markets, international finance, public finance
- ST1_16: Numerical analysis
Panel:
HS4 - Individuals, institutions, markets: economics, finance, management, demography, social and economic geography, urban studies
Host institution :
Uniwersytet Ekonomiczny w Krakowie, Wydział Zarządzania
woj. małopolskie
Principal investigator (from the host institution):
Number of co-investigators in the project: 2
Call: PRELUDIUM 1 - announced on 2011-03-15
Amount awarded: 41 615 PLN
Project start date (Y-m-d): 2011-12-06
Project end date (Y-m-d): 2013-06-05
Project duration:: 18 months (the same as in the proposal)
Project status: Project settled