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A sequential Monte Carlo method for estimating GARCH models subject to an unknown number of structural breaks is proposed. Particle filtering techniques allow for fast and efficient updates of posterior quantities and forecasts in real time. The method conveniently deals with the path dependence...
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Betriebswirtschaftslehre mit dem Schwerpunkt Finanzmarkt Mitarbeiter von Banken und Versicherungen Der Autor Prof. Dr. Joachim Weeber ist …
Persistent link: https://www.econbiz.de/10012402799
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