A Bayesian quantile time series model for asset returns
Year of publication: |
2022
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Authors: | Griffin, Jim E. ; Mitrodima, Gelly |
Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Abingdon : Taylor & Francis, ISSN 1537-2707, ZDB-ID 2043744-4. - Vol. 40.2022, 1, p. 16-27
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Subject: | Bayesian nonparametrics | Predictive density | Stationarity | Transformation models | Bayes-Statistik | Bayesian inference | Zeitreihenanalyse | Time series analysis | Prognoseverfahren | Forecasting model | Börsenkurs | Share price | Nichtparametrisches Verfahren | Nonparametric statistics | Kapitaleinkommen | Capital income | Schätztheorie | Estimation theory |
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