Bayesian estimation of Gegenbauer long memory processes with stochastic volatility : methods and applications
Year of publication: |
Jun 2018
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Authors: | Phillip, Andrew ; Chan, Jennifer S. K. ; Peiris, Shelton |
Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 22.2018, 3, p. 1-29
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Subject: | Gegenbauer | long memory | MCMC | stochastic volatility | time series | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Monte-Carlo-Simulation | Monte Carlo simulation | Bayes-Statistik | Bayesian inference |
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