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The ability to test for statistical causality in linear and non-linear contexts, in stationary or non-stationary settings and to identify whether statistical causality influences trend of volatility forms a piratically important class of problems to explore in multi-modal and multivariate...
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out ML-estimation of SV models as well as simulation smoothing where the latent volatilities are sampled at once. Based on … this EIS simulation smoother a Bayesian Markov Chain Monte Carlo (MCMC) posterior analysis of the parameters of SV models …
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