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volatility of US and UK GDP growth appears to have become increasingly correlated in the recent past. …

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Financial Risk Management with Bayesian Estimation of GARCH Models : Theory and Applications

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This book presents methodologies for the Bayesian estimation of GARCH models and their application to financial risk management. The study of these models from a Bayesian viewpoint is relatively recent and can be considered very promising due to the advantages of the Bayesian approach, in...

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