Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility (Q2691676)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility |
scientific article |
Statements
Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility (English)
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30 March 2023
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Bayes
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infinite variance
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long-memory
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Markov chain Monte Carlo
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mean-reverting
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wavelets
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0.9102845
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0.89783365
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0.8970361
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0.8959303
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0.89149845
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0.8904544
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0.8904544
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0.8876248
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0.88676286
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