An ABC approach for CAViaR models with asymmetric kernels (Q5107780)

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scientific article; zbMATH DE number 7194345
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An ABC approach for CAViaR models with asymmetric kernels
scientific article; zbMATH DE number 7194345

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    An ABC approach for CAViaR models with asymmetric kernels (English)
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    28 April 2020
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    approximate Bayesian computation
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    likelihood-free inference
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    CAViaR models
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    loss functions
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    forecasting
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    MCMC
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