This article uses a Bayesian unit-root test in stochastic volatility models. The time series of interest is the volatility that is unobservable. The unit-root testing is based on the posterior odds ...
It is now well established that the volatility of asset returns is time varying and highly persistent. One leading model that is used to represent these features of the data is the stochastic ...
This course is compulsory on the BSc in Actuarial Science. This course is available on the BSc in Business Mathematics and Statistics, BSc in Financial Mathematics and Statistics, BSc in Mathematics ...
This course is compulsory on the BSc in Actuarial Science. This course is available on the BSc in Business Mathematics and Statistics, BSc in Financial Mathematics and Statistics, BSc in Mathematics ...
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