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A Bayesian time‐varying autoregressive model for improved short‐term and long‐term prediction
Berninger, Christoph, (2021)
A Bayesian time-varying autoregressive model for improved short-term and long-term prediction
Berninger, Christoph, (2022)
The Gauss2++ model: a comparison of different measure change specifications for a consistent risk neutral and real world calibration