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  • Search: subject:"Quasi-Bayesian Estimation"
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Year of publication
Subject
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Bayes-Statistik 2 Bayesian inference 2 Estimation 2 Estimation theory 2 Quasi-Bayesian Estimation 2 Schätztheorie 2 Schätzung 2 ARCH model 1 ARCH-Modell 1 Algorithm 1 Algorithmus 1 CAPM 1 Capital income 1 Density Forecasting 1 EM-Algorithm 1 Fat Tails 1 Forecasting model 1 Kapitaleinkommen 1 Mixture Distributions 1 Monte Carlo simulation 1 Monte-Carlo-Simulation 1 Multifactor Affine Models 1 Multivariate Laplace Distribution 1 Option pricing theory 1 Optionspreistheorie 1 Portfolio selection 1 Portfolio-Management 1 Prognoseverfahren 1 Risk-Neutral Cumulants 1 Sequential Monte Carlo 1 Shrinkage Estimation 1 Statistical distribution 1 Statistische Verteilung 1 Weighted Likelihood 1 Yield curve 1 Zinsstruktur 1 density forecasting 1 expectation-maximization algorithm 1 fat tails 1 mixture distributions 1
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Online availability
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Undetermined 2 Free 1
Type of publication
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Article 2 Book / Working Paper 1
Type of publication (narrower categories)
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Article in journal 2 Aufsatz in Zeitschrift 2
Language
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English 2 Undetermined 1
Author
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Paolella, Marc S. 2 Brignone, Riccardo 1 Gonzato, Luca 1 Lütkebohmert, Eva 1
Published in...
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Journal of banking & finance 1 Swiss Finance Institute Research Paper Series 1 The European journal of finance 1
Source
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ECONIS (ZBW) 2 RePEc 1
Showing 1 - 3 of 3
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Efficient Quasi-Bayesian estimation of affine pption pricing models using risk-neutral cumulants
Brignone, Riccardo; Gonzato, Luca; Lütkebohmert, Eva - In: Journal of banking & finance 148 (2023), pp. 1-18
Persistent link: https://www.econbiz.de/10014248278
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Multivariate asset return prediction with mixture models
Paolella, Marc S. - In: The European journal of finance 21 (2015) 13/15, pp. 1214-1252
Persistent link: https://www.econbiz.de/10011419842
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Multivariate Asset Return Prediction with Mixture Models
Paolella, Marc S.
The use of mixture distributions for modeling asset returns has a long history in finance. New methods of demonstrating support for the presence of mixtures in the multivariate case are provided. The use of a two-component multivariate normal mixture distribution, coupled with shrinkage via a...
Persistent link: https://www.econbiz.de/10010680440
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