Density prediction of stock index returns using GARCH models: Frequentist or Bayesian estimation?
Year of publication: |
2012
|
---|---|
Authors: | Hoogerheide, Lennart F. ; Ardia, David ; Corré, Nienke |
Published in: |
Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 116.2012, 3, p. 322-325
|
Publisher: |
Elsevier |
Subject: | GARCH | Bayesian | KLIC | Censored likelihood |
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