Bayesian Analysis of Additive Factor Volatility Models with Heavy-Tailed Distributions with Specific Reference to S&P 500 and SSEC Indices
The distribution of the financial return series is unsuitable for normal distribution. The distribution of financial series is heavier than the normal distribution. In addition, parameter estimates obtained in the presence of outliers are unreliable. Therefore, models that allow heavy-tailed distrib...
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| Autores principales: | , |
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| Formato: | Capítulo de libro |
| Lenguaje: | inglés |
| Publicado: |
IntechOpen
2020
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| Materias: | |
| Acceso en línea: | https://www.intechopen.com/chapters/73559 |
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