Nicolas Chapados

University of Montreal

Researcher

C.P. 6128 succursale Centre-ville

Montreal, Quebec H3C 3J7

Canada

  • University of Montreal

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Scholarly Papers (1)

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Volatility Forecasting and Explanatory Variables: A Tractable Bayesian Approach to Stochastic Volatility

Number of pages: 47 Posted: 26 Jan 2011 Last Revised: 23 May 2013
Christian Dorion and Nicolas Chapados
HEC Montreal and University of Montreal
Downloads 350 (175,728)

Abstract:

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Bayesian Volatility Models, Stochastic Volatility, Generalized Autoregressive Conditional Heteroscedasticity Models, Long Memory in Volatility, Multifactor Volatility