The stochastic volatility model with random jumps and its application to BRL/USD exchange rate (2014)
- Authors:
- USP affiliated author: LAURINI, MARCIO POLETTI - FEARP
- School: FEARP
- Subjects: ECONOMIA; CRISES; TAXA DE CÂMBIO; PROCESSOS ESTOCÁSTICOS; INFERÊNCIA BAYESIANA
- Language: Inglês
- Imprenta:
- Source:
- Título do periódico: Economics Bulletin
- ISSN: 1545-2921
- Volume/Número/Paginação/Ano: v. 34, n. 2, p. 1002-1011, 2014
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ABNT
LAURINI, Márcio Poletti; MAUAD, Roberto Baltieri. The stochastic volatility model with random jumps and its application to BRL/USD exchange rate. Economics Bulletin, Nashville, v. 34, n. 2, p. 1002-1011, 2014. Disponível em: < http://www.accessecon.com/Pubs/EB/2014/Volume34/EB-14-V34-I2-P92.pdf >. -
APA
Laurini, M. P., & Mauad, R. B. (2014). The stochastic volatility model with random jumps and its application to BRL/USD exchange rate. Economics Bulletin, 34( 2), 1002-1011. Recuperado de http://www.accessecon.com/Pubs/EB/2014/Volume34/EB-14-V34-I2-P92.pdf -
NLM
Laurini MP, Mauad RB. The stochastic volatility model with random jumps and its application to BRL/USD exchange rate [Internet]. Economics Bulletin. 2014 ; 34( 2): 1002-1011.Available from: http://www.accessecon.com/Pubs/EB/2014/Volume34/EB-14-V34-I2-P92.pdf -
Vancouver
Laurini MP, Mauad RB. The stochastic volatility model with random jumps and its application to BRL/USD exchange rate [Internet]. Economics Bulletin. 2014 ; 34( 2): 1002-1011.Available from: http://www.accessecon.com/Pubs/EB/2014/Volume34/EB-14-V34-I2-P92.pdf - Data cloning: maximum likelihood estimation of DSGE models
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