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subject:"Time series analysis"
subject:"United States"
~accessRights:"restricted"
~isPartOf:"Journal of financial econometrics"
~person:"Gerlach, Richard"
~person:"Lu, Jin"
~subject:"Bayes-Statistik"
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Time series analysis
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Gerlach, Richard
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Bayesian semi-parametric realized conditional autoregressive expectile models for tail risk forecasting
Gerlach, Richard
;
Wang, Chao
- In:
Journal of financial econometrics
20
(
2022
)
1
,
pp. 105-138
Persistent link: https://www.econbiz.de/10012878188
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Local-linear estimation of time-varying-parameter garch models and associated risk measures
Inoue, Atsushi
;
Lu, Jin
;
Pelletier, Denis
- In:
Journal of financial econometrics
19
(
2021
)
1
,
pp. 202-234
Persistent link: https://www.econbiz.de/10012504329
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