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Forecasting interest rates volatilities by GARCH (1,1) and stochastic volatility models · Hans Boscher, Eva-Maria Fronk, Iris Pigeot.
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Forecasting interest rates volatilities by GARCH (1,1) and stochastic volatility models. Authors. Hans Boscher · Eva-Maria Fronk · Iris Pigeot ... › ...
Estimation of the stochastic volatility by Markov Chain Monte Carlo -...
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Hans Boscher, Eva-Maria Fronk, and Iris Pigeot. Year of publication: Authors: Boscher, Hans: Other Persons: Fronk, Eva-Maria (contributor); Pigeot, ...
Forecasting interest rates volatilities by GARCH (1,1) and stochastic...
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Forecasting interest rates volatilities by GARCH (1,1) and stochastic volatility models. Hans Boscher, Eva-Maria Fronk, and Iris Pigeot ...
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Estimation of the Stochastic Volatility by Markov Chain Monte Carlo Hans Boscher", Eva-Maria. Fronk”, and Iris Pigeot” * Deutsche Morgan Grenfell, ...
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von NHF Beebe · — [1084] Hans Boscher, Eva-Maria Fronk, and. Iris Pigeot. Forecasting interest rates volatilities by GARCH (1,1) and stochastic volatility models. Statis-. › tex › bib
Forecasting interest rates volatilities by GARCH (1,1) and stochastic...
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Hans Boscher, Eva-Maria Fronk, and Iris Pigeot. Received: November 30, 1998; revised version: March 6, Abstract. In this paper, we compare the forecast ...
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... NUML International Journal of Business & Management Hans Boscher, Eva-Maria Fronk and Iris Pigeot (2000), Forecasting interest rates volatilities by ... › document › 7...
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von H Boscher · · Zitiert von: 2 — Estimation of the Stochastic Volatility by Markov Chain Monte Carlo. Hans Boscher,; Eva-Maria Fronk &; Iris Pigeot. Chapter Accesses ... › ...
(PDF) Dynamic covariance estimation using sparse Bayesian factor ...www.researchgate.net › ... › Volatility Modeling
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— Hans Boscher · Eva-Maria Fronk · Iris Pigeot. The authors consider the stochastic volatility which is used to measure the fluctuation of ...
Forecasting interest rates volatilities by GARCH (1,1) and stochastic...
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Authors. Hans Boscher,. Hans Boscher. Deutsche Australia Ltd. OIC Derivatives Grosvenor Place. Eva-Maria Fronk,. Eva-Maria Fronk. Institute ...
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... title={Estimation of the Stochastic Volatility by Markov Chain Monte Carlo}, author={Hans Boscher and Eva-Maria Fronk and Iris Pigeot}, year={1998} }. › ...
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In addition, they are applied to a real dataset for estimating the volatility of swap rates. Hans Boscher, Eva-Maria Fronk, Iris Pigeot. Mehr anzeigen ...
Forecasting interest rates volatilities by GARCH - ProQuest
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Hans Boscher, Eva-Maria Fronk, and Iris Pigeot. 1 Introduction these models facilitate approaches to forecast the volatility more appropriately. › docview
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175 Estimation of the Stochastic Volatility by Markov Chain Monte Carlo Hans Boscher, Eva-Maria Fronk, and Iris Pigeot Money and ... › ...
Econometrics in theory and practice : Festschrift for Hans...
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... Gregor Dorfleitner and Klaus Roder; Estimation of the Stochastic Volatility by Markov Chain Monte Carlo / Hans Boscher, Eva-Maria Fronk and Iris Pigeot ...
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— Hans Boscher and Eva-Maria Fronk and Iris Pigeot Forecasting interest rates volatilities by GARCH (1,1) and stochastic volatility ...
Forecasting interest rates volatilities by GARCH (1,1) and stochastic...
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— ... author={Hans Boscher and Eva-Maria Fronk and Iris Pigeot}, journal={Statistical Papers}, year={2000}, volume={41}, pages={ } }. › ...
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