Modeling the volatility of returns on commodities: an application and empirical comparison of GARCH and SV models
Year of publication: |
febrero, 2020
|
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Authors: | Fernández Prada Saucedo, Jean Pierre ; Rodriguez, Gabriel |
Publisher: |
Lima, Perú : Departamento de Economía, Pontificia Universidad Católica del Perú |
Subject: | Returns | Volatility | GARCH | Stochastic Volatility | Commodities | Bayesian Estimation | Fat Tails | Jumps | Leverage | Volatilität | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income | Stochastischer Prozess | Stochastic process | Schätzung | Estimation | Bayes-Statistik | Bayesian inference | Schätztheorie | Estimation theory |
Extent: | 1 Online-Ressource (circa 42 Seiten) Illustrationen |
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Series: | Documento de trabajo. - Lima, Perú : Departamento de Economía, ZDB-ID 2405751-4. - Vol. no 484 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
Language: | English |
Source: | ECONIS - Online Catalogue of the ZBW |
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