Bayesian nonparametric modelling of the return distribution with stochastic volatility
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Publication:2634125
DOI10.1214/11-BA632zbMath1330.62116MaRDI QIDQ2634125
Jim E. Griffin, E.-I. Delatola
Publication date: 8 February 2016
Published in: Bayesian Analysis (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.ba/1339616547
Dirichlet processmixture modelstock indexasset returncentred representationoff-set mixture representation
Computational methods in Markov chains (60J22) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Bayesian inference (62F15) Random measures (60G57)
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