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Publication:5966323
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DOI10.1214/14-BA920zbMath1327.62145OpenAlexW1982694933MaRDI QIDQ5966323

Catherine Scipione Forbes

Publication date: 21 December 2015

Published in: Bayesian Analysis (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.ba/1416579178



Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Positive matrices and their generalizations; cones of matrices (15B48)




Cites Work

  • Unnamed Item
  • Analysis of high dimensional multivariate stochastic volatility models
  • Probabilistic forecasts of volatility and its risk premia
  • Markov chain Monte Carlo methods for stochastic volatility models.
  • Post-'87 crash fears in the S\&P 500 futures option market
  • Transform Analysis and Asset Pricing for Affine Jump-diffusions
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