On the observed-data deviance information criterion for volatility modeling
Year of publication: |
2016
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Authors: | Chan, Joshua ; Grant, Angelia L. |
Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 14.2016, 4, p. 772-802
|
Subject: | Bayesian model comparison | nonlinear state space | DIC | jumps | moving average | leverage | heavy tails | S&P 500 | Volatilität | Volatility | Bayes-Statistik | Bayesian inference | Stochastischer Prozess | Stochastic process | Theorie | Theory | Zustandsraummodell | State space model |
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