Bayesian prediction of jumps in large panels of time series data
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Publication:6202925
DOI10.1214/21-ba1268arXiv1904.05312OpenAlexW3159464310MaRDI QIDQ6202925
Petros Dellaportas, Angelos Alexopoulos, Omiros Papaspiliopoulos
Publication date: 27 February 2024
Published in: Bayesian Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1904.05312
Markov chain Monte Carlosequential Monte Carlodynamic factor modelstochastic volatility with jumpsforecasting stock returns
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