Stochastic volatility models in finance: measurement of financial stress in Ecuador

This work develops a framework for the analysis of state-space models combined with Kalman, Kalman smoothed, Gibbs and particle filters for the estimation of unknown states, and parameters, determining the accuracy of the algorithms, to analyze some time series of the macroeconomy of Ecuador. This m...

• Autor principal: Bautista Vega, Henry Fabian (author)
• Format: bachelorThesis
• Idioma: eng
• Publicat: 2021
• Matèries: Sistemas dinámicos; Filtro de Kalman; Modelos de espacio estado; Muestreador de Gibbs; Modelo ARIMA; Modelo producto interno bruto; Dynamic system; Kalman filter; State space model; Gibbs sampler; Monte Carlo samples; ARIMA model; Gross domestic product model
• Accés en línia: http://repositorio.yachaytech.edu.ec/handle/123456789/435