Stochastic variational inference for GARCH models
Author:
Funder
Australian Government
Publisher
Springer Science and Business Media LLC
Subject
Computational Theory and Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability,Theoretical Computer Science
Link
https://link.springer.com/content/pdf/10.1007/s11222-023-10356-7.pdf
Reference70 articles.
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3. Ardia, D., et al.: Financial Risk Management with Bayesian Estimation of GARCH Models, vol. 612. Springer, berlin (2008)
4. Baillie, R.T., Bollerslev, T.: Common stochastic trends in a system of exchange rates. J. Finance 44(1), 167–181 (1989)
5. Beine, M., Bénassy-Quéré, A., Lecourt, C.: Central bank intervention and foreign exchange rates: new evidence from FIGARCH estimations. J. Int. Money Finance 21(1), 115–144 (2002)
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