Empirical analysis of affine versus nonaffine variance specifications in jump-diffusion models for equity indices
Year of publication: |
2015
|
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Authors: | Ignatieva, Ekaterina ; Rodrigues, Paulo Jorge Maurício ; Seeger, Norman |
Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Alexandria, Va. : American Statistical Association, ISSN 0735-0015, ZDB-ID 876122-X. - Vol. 33.2015, 1, p. 68-75
|
Subject: | Bayesian inference | Deviance information criteria | Markov chain Monte Carlo | Stochastic volatility | Markov-Kette | Markov chain | Volatilität | Volatility | Bayes-Statistik | Stochastischer Prozess | Stochastic process | Monte-Carlo-Simulation | Monte Carlo simulation | Schätzung | Estimation | Schätztheorie | Estimation theory | Aktienindex | Stock index | Kapitaleinkommen | Capital income |
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