New volatility models under a Bayesian perspective : a case study
Year of publication: |
Abril-Junho 2014
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Authors: | Cuervo, Edilberto Cepeda ; Achcar, Jorge Alberto ; Barossi Filho, Milton |
Published in: |
Economia aplicada : EA. - Ribeirão Prêto : [FEA-RP, USP, Departamento de Economia], ISSN 1413-8050, ZDB-ID 2013461-7. - Vol. 18.2014, 2, p. 179-197
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Subject: | ARCH | GARCH | EGARCH | Stochastic Volatility Models | Financial Time Series | Bayesian methodology | MCMC methods | Theorie | Theory | Volatilität | Volatility | Bayes-Statistik | Bayesian inference | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Stochastischer Prozess | Stochastic process | Finanzmarkt | Financial market | Prognoseverfahren | Forecasting model |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Notes: | Zusammenfassung in portugiesischer Sprache |
Other identifiers: | 10.1590/1413-8050/ea91 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
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