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~institution:"Departamento de Estadistica, Universidad Carlos III de Madrid"
~isPartOf:"Statistics and Econometrics Working Papers"
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Bayesian inference
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Birth-death process
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COGARCH
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Continuous time
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Counting Markov process
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Data cloning
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Bernal, M. T. Rodríguez
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Bretó, Carles
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Departamento de Estadistica, Universidad Carlos III de Madrid
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Statistics and Econometrics Working Papers
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Data cloning estimation of GARCH and COGARCH models
Marín, J. Miguel
;
Bernal, M. T. Rodríguez
;
Romero, Eva
-
Departamento de Estadistica, Universidad Carlos III de …
-
2013
discrete financial time series. In the last years,
continuous
time
models based on discrete GARCH models have been also …
Persistent link: https://www.econbiz.de/10010681694
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2
Compound Markov counting processes and their applications to modeling infinitesimally over-dispersed systems
Bretó, Carles
;
Ionides, Edward L.
-
Departamento de Estadistica, Universidad Carlos III de …
-
2011
-dispersed using previously studied indices. Compound processes arise, for example, when introducing
continuous-time
white noise to the …
Persistent link: https://www.econbiz.de/10009149967
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