Bayesian estimation of stochastic tail index from high-frequency financial data
Year of publication: |
2021
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Authors: | Doğan, Osman ; Taṣpınar, Süleyman ; Bera, Anil K. |
Published in: |
Empirical economics : a quarterly journal of the Institute for Advanced Studies. - Berlin : Springer, ISSN 1435-8921, ZDB-ID 1462176-9. - Vol. 61.2021, 5, p. 2685-2711
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Subject: | Stochastic tail index models | Stochastic volatility models | Extreme values | Extreme value theory | Tail index | Bayesian inference | MCMC | DIC | High-frequency data | Theorie | Theory | Ausreißer | Outliers | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Aktienindex | Stock index | Bayes-Statistik | Statistische Verteilung | Statistical distribution | Wahrscheinlichkeitsrechnung | Probability theory | Finanzmarkt | Financial market | Börsenkurs | Share price | Kapitaleinkommen | Capital income | Index | Index number | Schätzung | Estimation |
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