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Latest revision as of 16:25, 1 July 2024

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Modelling nonlinearities and heavy tails via threshold normal mixture GARCH models
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    Modelling nonlinearities and heavy tails via threshold normal mixture GARCH models (English)
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    12 June 2009
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    autoregressive conditional heteroscedasticity
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    Bayesian inference
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    Markov chain Monte Carlo
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    stochastic search
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    value at risk
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