LIBROS DEL AUTOR: stefanos giakoumatos

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  • Bayesian Stochastic Volatility Models
    Stefanos Giakoumatos
    The phenomenon of changing variance and covariance is often encountered in financial time series. As a result, during the last years researchers focused on the time-varying volatility models. These models are able to describe the main characteristics of the financial data such as the volatility clustering. In addition, the development of the Markov Chain Monte Carlo Techniques...
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