Selection of multivariate stochastic volatility models via Bayesian stochastic search
Year of publication: |
2011
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Authors: | Loddo, Antonello ; Ni, Shawn X. ; Sun, Dongchu |
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. 29.2011, 3, p. 342-355
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Subject: | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Bayes-Statistik | Bayesian inference | Monte-Carlo-Simulation | Monte Carlo simulation | Markov-Kette | Markov chain | Theorie | Theory |
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