Bayesian predictive distributions of oil returns using mixed data sampling volatility models
Year of publication: |
2023
|
---|---|
Authors: | Virbickaite, Audrone ; Nguyen, Hoang ; Tran, Minh-Ngoc |
Publisher: |
Örebro : Örebro University School of Business |
Subject: | ES | GARCH | GAS | log marginal likelihood | MIDAS | SV | VaR |
Series: | Working Paper ; 7/2023 |
---|---|
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 1844783316 [GVK] hdl:10419/274606 [Handle] RePEc:hhs:oruesi:2023_007 [RePEc] |
Classification: | C22 - Time-Series Models ; C52 - Model Evaluation and Testing ; c58 ; G32 - Financing Policy; Capital and Ownership Structure |
Source: |
-
Bayesian predictive distributions of oil returns using mixed data sampling volatility models
Virbickaite, Audrone, (2023)
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Bayesian predictive distributions of oil returns using mixed data sampling volatility models
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