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estimating trivariate hybrid time-varying parameter Bayesian VAR models with stochastic volatility for the three-month Treasury …
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predictors, where robust stands for the use of mixtures of proper conjugate priors. Concerning dynamic analysis, volatility …
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In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and … indices and foreign exchange rates. -- Stochastic volatility ; Markov chain Monte Carlo ; Metropolis-Hastings algorithm Jump …
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stochastic volatility. Estimation of the model delivers measures of daily variation outperforming their non …When analysing the volatility related to high frequency financial data, mostly non-parametric approaches based on …
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