A Bayesian semiparametric realized stochastic volatility model
Year of publication: |
2021
|
---|---|
Authors: | Liu, Jia |
Published in: |
Journal of Risk and Financial Management. - Basel : MDPI, ISSN 1911-8074. - Vol. 14.2021, 12, p. 1-22
|
Publisher: |
Basel : MDPI |
Subject: | stochastic volatility | Dirichlet process mixture | realized volatility | density forecast |
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