Stochastic volatility model for financial time series: an application with brazilian stock market IBOVESPA (2007)
- Authors:
- USP affiliated authors: BAROSSI FILHO, MILTON - EACH ; ACHCAR, JORGE ALBERTO - ICMC ; ANDRADE FILHO, MARINHO GOMES DE - ICMC
- Unidades: EACH; ICMC
- Subjects: INFERÊNCIA BAYESIANA; INFERÊNCIA ESTATÍSTICA; PROCESSOS ESTOCÁSTICOS; ANÁLISE DE SÉRIES TEMPORAIS
- Language: Inglês
- Imprenta:
- Publisher: ICMC-USP
- Publisher place: São Carlos
- Date published: 2007
- Source:
- ISSN: 0103-2577
-
ABNT
BAROSSI FILHO, Milton e ACHCAR, Jorge Alberto. Stochastic volatility model for financial time series: an application with brazilian stock market IBOVESPA. . São Carlos: ICMC-USP. Disponível em: https://repositorio.usp.br/directbitstream/426abba7-bbd1-41b6-b4df-9cda061b2609/1627836.pdf. Acesso em: 25 abr. 2024. , 2007 -
APA
Barossi Filho, M., & Achcar, J. A. (2007). Stochastic volatility model for financial time series: an application with brazilian stock market IBOVESPA. São Carlos: ICMC-USP. Recuperado de https://repositorio.usp.br/directbitstream/426abba7-bbd1-41b6-b4df-9cda061b2609/1627836.pdf -
NLM
Barossi Filho M, Achcar JA. Stochastic volatility model for financial time series: an application with brazilian stock market IBOVESPA [Internet]. 2007 ;[citado 2024 abr. 25 ] Available from: https://repositorio.usp.br/directbitstream/426abba7-bbd1-41b6-b4df-9cda061b2609/1627836.pdf -
Vancouver
Barossi Filho M, Achcar JA. Stochastic volatility model for financial time series: an application with brazilian stock market IBOVESPA [Internet]. 2007 ;[citado 2024 abr. 25 ] Available from: https://repositorio.usp.br/directbitstream/426abba7-bbd1-41b6-b4df-9cda061b2609/1627836.pdf - Interfailure data with constant hazerd function in the presence of change-points
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