Modeling volatility using state space models with heavy tailed distributions
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DOI: 10.1016/j.matcom.2015.08.005
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- Martha Flores‐Sosa & Ezequiel Avilés‐Ochoa & José M. Merigó, 2022. "Exchange rate and volatility: A bibliometric review," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 1419-1442, January.
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Keywords
Bayesian inference; Classical inference; Non-Gaussian state space model; Stochastic volatility; Stock price index;All these keywords.
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