Πλοήγηση ανά Θέμα "Volatility prediction"

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    • Article  

      Full bayesian inference for GARCH and EGARCH models 

      Vrontos, Ioannis D.; Dellaportas, Petros; Politis, Dimitris Nicolas (2000)
      A full Bayesian analysis of GARCH and EGARCH models is proposed consisting of parameter estimation, model selection, and volatility prediction. The Bayesian paradigm is implemented via Markov-chain Monte Carlo methodologies. ...