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. This may seem surprising as derivatives on subsets of the traded goods require a precise modelling and estimation of the …
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This book presents methodologies for the Bayesian estimation of GARCH models and their application to financial risk … paradigm for inference. The next three chapters describe the estimation of the GARCH model with Normal innovations and the … between individuals can be substantial in terms of regulatory capital. The last chapter proposes the estimation of a Markov …
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estimation approaches. …
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