MCMC Bayesian Estimation of a Skew-GED Stochastic Volatility Model (Q3368337)
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scientific article; zbMATH DE number 5002390
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| English | MCMC Bayesian Estimation of a Skew-GED Stochastic Volatility Model |
scientific article; zbMATH DE number 5002390 |
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MCMC Bayesian Estimation of a Skew-GED Stochastic Volatility Model (English)
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27 January 2006
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stochastic volatility
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Markov chain Monte Carlo
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skewness
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heavy tails
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Bayesian inference
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0.8472198247909546
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0.8211400508880615
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0.7932978868484497
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0.7904903292655945
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