Publication:2934046
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zbMath1319.62191arXiv1210.2022MaRDI QIDQ2934046
Daniele Durante, Bruno Scarpa, David B. Dunson
Publication date: 8 December 2014
Full work available at URL: https://arxiv.org/abs/1210.2022
stochastic volatility; Bayesian nonparametrics; multivariate time series; nested Gaussian process; locally varying smoothness
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05: Applications of statistics to actuarial sciences and financial mathematics
62G05: Nonparametric estimation
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