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  <front>
    <journal-meta>
      <journal-id journal-id-type="publisher-id">JDS</journal-id>
      <journal-title-group>
        <journal-title>Journal of Data Science</journal-title>
      </journal-title-group>
      <issn pub-type="epub">1680-743X</issn>
      <issn pub-type="ppub">1680-743X</issn>
      <publisher>
        <publisher-name>SOSRUC</publisher-name>
      </publisher>
    </journal-meta>
    <article-meta>
      <article-id pub-id-type="publisher-id">030107</article-id>
      <article-id pub-id-type="doi">10.6339/JDS.2005.03(1).184
</article-id>
      <article-categories>
        <subj-group subj-group-type="heading">
          <subject>Research Article</subject>
        </subj-group>
      </article-categories>
      <title-group>
        <article-title>Bayesian Analysis for Change Points in the Volatility of Latin American Emerging Markets</article-title>
      </title-group>
      <contrib-group>
        <contrib contrib-type="author">
          <name>
            <surname>Loschi</surname>
            <given-names>Rosangela H.</given-names>
          </name>
          <xref ref-type="aff" rid="j_JDS_aff_000"/>
        </contrib>
        <aff id="j_JDS_aff_000">Universidade Federal de Minas Gerais</aff>
        <contrib contrib-type="author">
          <name>
            <surname>Moura</surname>
            <given-names>Cristiano R.</given-names>
          </name>
          <xref ref-type="aff" rid="j_JDS_aff_001"/>
        </contrib>
        <aff id="j_JDS_aff_001">Universidade Federal de Minas Gerais</aff>
        <contrib contrib-type="author">
          <name>
            <surname>Iglesias</surname>
            <given-names>Pilar L.</given-names>
          </name>
          <xref ref-type="aff" rid="j_JDS_aff_002"/>
        </contrib>
        <aff id="j_JDS_aff_002">Universidade Federal de Minas Gerais</aff>
      </contrib-group>
      <volume>3</volume>
      <issue>1</issue>
      <fpage>101</fpage>
      <lpage>122</lpage>
      <permissions>
        <ali:free_to_read xmlns:ali="http://www.niso.org/schemas/ali/1.0/"/>
      </permissions>
      <abstract>
        <p>Abstract: We have extended some previous works by applying the product partition model (PPM) to identify multiple change points in the variance of normal data sequence assuming mean equal to zero. This type of problem is very common in applied economics and finance. We consider the Gibbs sampling scheme proposed in the literature to obtain the posterior estimates or product estimates for the variance and the posterior distributions for the instants when changes take place and also for the number of change points in the sequence. The PPM is used to obtain the posterior behavior of the volatility (measured as the variance) in the series of returns of four important Latin American stock indexes (MERVAL-Argentina, IBOVESPABrazil, IPSA-Chile and IPyC-Mexico). The posterior number of change point as well as the posterior most probable partition for each index series are also obtained.</p>
      </abstract>
      <kwd-group>
        <label>Keywords</label>
        <kwd>Gibbs sampling</kwd>
        <kwd>product partition model</kwd>
        <kwd>student-t distribution</kwd>
      </kwd-group>
    </article-meta>
  </front>
</article>
