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A Bayesian semiparametric stochastic volatility model for financial data is developed. This estimates the return distribution from the data allowing for stylized facts such as heavy tails and jumps in prices whilst also allowing for correlation between the returns and changes in volatility, the...
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The Probability of Informed Trading (PIN) is a widely used indicator of information asymmetry risk in the trading of securities. Its estimation using maximum likelihood algorithms has been shown to be problematic, resulting in biased estimates, especially in the case of liquid and frequently...
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Estimating demand for wide assortments of differentiated goods requires the specification of a demand system that is sufficiently flexible. However, flexible models are highly parameterized so estimation requires appropriate forms of regularization to avoid overfitting. In this paper, we study...
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We consider jointly modelling a finite collection of quantiles over time under a Bayesian nonparametric framework. Formal Bayesian inference on quantiles is challenging since we need access to both the quantile function and the likelihood (which is given by the derivative of the inverse quantile...
Persistent link: https://www.econbiz.de/10012900894