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  • Search: subject:"Zeitvariantes System"
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Year of publication
Subject
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Zeitvariantes System 3 Bayes-Statistik 2 Bayes-Verfahren 2 Bayesian inference 2 Kovarianz <Stochastik> 2 Markov chain 2 Markov-Kette 2 Markov-Ketten-Monte-Carlo-Verfahren 2 Monte Carlo simulation 2 Monte-Carlo-Simulation 2 Time series analysis 2 Zeitreihenanalyse 2 Capital-Asset-Pricing-Modell 1
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Online availability
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Free 2
Type of publication
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Book / Working Paper 3
Type of publication (narrower categories)
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Arbeitspapier 2 Graue Literatur 2 Non-commercial literature 2 Working Paper 2
Language
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English 3
Author
All
Rinnergschwentner, Wolfgang 2 Tappeiner, Gottfried 2 Walde, Janette 2 Vaihekoski, Mika 1
Published in...
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Working papers in economics and statistics 2 Meddelanden från Svenska Handelshögskolan 1
Source
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ECONIS (ZBW) 2 USB Cologne (EcoSocSci) 1
Showing 1 - 3 of 3
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Multivariate stochastic volatility via Wishart processes : a continuation
Rinnergschwentner, Wolfgang; Tappeiner, Gottfried; … - 2011
Persistent link: https://www.econbiz.de/10009544514
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Multivariate stochastic volatility via Wishart processes : a continuation
Rinnergschwentner, Wolfgang; Tappeiner, Gottfried; … - 2011
This paper picks up on a model developed by Philipov and Glickman (2006) for modeling multivariate stochastic volatility via Wishart processes. MCMC simulation from the posterior distribution is employed to fit the model. However, erroneous mathematical transformations in the full conditionals...
Persistent link: https://www.econbiz.de/10009737530
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Intertemporal capital asset pricing model with time-varying parameters : tests on data from the Helsinki Stock Exchange
Vaihekoski, Mika - 1996
Persistent link: https://www.econbiz.de/10004404181
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