Comparing and evaluating Bayesian predictive distributions of assets returns
Year of publication: |
2008
|
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Authors: | Geweke, John ; Amisano, Gianni |
Publisher: |
Frankfurt a. M. : European Central Bank (ECB) |
Subject: | Wahrscheinlichkeitsrechnung | ARCH-Modell | Markov-Kette | Prognoseverfahren | Kapitaleinkommen | Theorie | USA | forecasting | GARCH | inverse probability transform | Markov mixture | predictive likelihood | S&P 500 returns | stochastic volatility |
Series: | ECB Working Paper ; 969 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 598010661 [GVK] hdl:10419/153403 [Handle] RePEc:ecb:ecbwps:20080969 [RePEc] |
Classification: | C11 - Bayesian Analysis ; C53 - Forecasting and Other Model Applications |
Source: |
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Geweke, John, (2009)
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Comparing and evaluating Bayesian predictive distributions of assets returns
Geweke, John, (2008)
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Comparing and evaluating Bayesian predictive distributions of assets returns
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Comparing and evaluating Bayesian predictive distributions of assets returns
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