Bayesian analysis of periodic asymmetric power GARCH models
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DOI: 10.1515/snde-2018-0112
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- Fu, Jin-Yu & Lin, Jin-Guan & Hao, Hong-Xia, 2023. "Volatility analysis for the GARCH–Itô–Jumps model based on high-frequency and low-frequency financial data," International Journal of Forecasting, Elsevier, vol. 39(4), pages 1698-1712.
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Keywords
Bayesian forecasting; Deviance Information Criterion; Griddy-Gibbs; periodic asymmetric power GARCH model; probability properties; Value at Risk;All these keywords.
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