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~person:"Afuecheta, Emmanuel"
~person:"Hoogerheide, Lennart"
~person:"van Dijk, Herman K."
~subject:"ARCH-Modell"
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importance sampling
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Afuecheta, Emmanuel
Hoogerheide, Lennart
van Dijk, Herman K.
Opschoor, Anne
5
Ardia, David
4
Hoogerheide, Lennart F.
4
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Forecasting Value at Risk and expected shortfall of foreign exchange rate volatility of major African currencies via GARCH and dynamic conditional correlation analysis
Afuecheta, Emmanuel
;
Okorie, Idika E.
;
Nadarajah, Saralees
- In:
Computational economics
63
(
2024
)
1
,
pp. 271-304
Persistent link: https://www.econbiz.de/10014472109
Saved in:
2
A class of adaptive importance sampling weighted EM algorithms for efficient and robust posterior and predictive simulation
Hoogerheide, Lennart
;
Opschoor, Anne
;
Dijk, Herman K. van
-
2012
Persistent link: https://www.econbiz.de/10009722688
Saved in:
3
A Class of Adaptive Importance Sampling Weighted EM Algorithms for Efficient and Robust Posterior and Predictive Simulation
Hoogerheide, Lennart
;
Opschoor, Anne
;
van Dijk, Herman K.
-
2012
to efficiently construct a mixture of
Student-t
densities that approximates accurately the target distribution …
Persistent link: https://www.econbiz.de/10010326223
Saved in:
4
A Class of Adaptive EM-based Importance Sampling Algorithms for Efficient and Robust Posterior and Predictive Simulation
Hoogerheide, Lennart
;
Opschoor, Anne
;
van Dijk, Herman K.
-
2011
to efficiently construct a mixture of
Student-t
densities that approximates accurately the target distribution -typically …
Persistent link: https://www.econbiz.de/10010325702
Saved in:
5
A class of adaptive EM-based importance sampling algorithms for efficient and robust posterior and predictive simulation
Hoogerheide, Lennart
;
Opschoor, Anne
;
Dijk, Herman K. van
-
2011
to efficiently construct a mixture of
Student-t
densities that approximates accurately the target distribution -typically …
Persistent link: https://www.econbiz.de/10011382695
Saved in:
6
A class of adaptive importance sampling weighted EM algorithms for efficient and robust posterior and predictive simulation
Hoogerheide, Lennart
;
Opschoor, Anne
;
Dijk, Herman K. van
- In:
Journal of econometrics
171
(
2012
)
2
,
pp. 101-120
Persistent link: https://www.econbiz.de/10009691174
Saved in:
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