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A Bayesian semiparametric model for volatility with a leverage effect.

E.-I. DelatolaJim E. Griffin
Published in: Comput. Stat. Data Anal. (2013)
Keyphrases
  • probabilistic model
  • prior knowledge
  • semi parametric
  • closed form
  • neural network model
  • machine learning
  • support vector
  • light source
  • linear regression
  • bayesian inference
  • linear model