Zero-Variance principle for Hamiltonian Monte Carlo in GJR-GARCH models (2018)
- Authors:
- USP affiliated authors: EHLERS, RICARDO SANDES - ICMC ; PAIXÃO, RAFAEL SOARES - Interinstitucional de Pós-Graduação em Estatística
- Unidades: ICMC; Interinstitucional de Pós-Graduação em Estatística
- Subjects: ECONOMETRIA; MÉTODOS MCMC
- Language: Inglês
- Imprenta:
- Publisher: ICMC/USP - DEs/UFSCar
- Publisher place: São Carlos
- Date published: 2018
- Source:
- Título: Abstracts
- Conference titles: Workshop on Probabilistic and Statistical Methods - WPSM
-
ABNT
PAIXÃO, Rafael Soares e EHLERS, Ricardo Sandes. Zero-Variance principle for Hamiltonian Monte Carlo in GJR-GARCH models. 2018, Anais.. São Carlos: ICMC/USP - DEs/UFSCar, 2018. Disponível em: http://wpsm.icmc.usp.br/6WPSM/program_6WPSM.pdf. Acesso em: 21 jan. 2026. -
APA
Paixão, R. S., & Ehlers, R. S. (2018). Zero-Variance principle for Hamiltonian Monte Carlo in GJR-GARCH models. In Abstracts. São Carlos: ICMC/USP - DEs/UFSCar. Recuperado de http://wpsm.icmc.usp.br/6WPSM/program_6WPSM.pdf -
NLM
Paixão RS, Ehlers RS. Zero-Variance principle for Hamiltonian Monte Carlo in GJR-GARCH models [Internet]. Abstracts. 2018 ;[citado 2026 jan. 21 ] Available from: http://wpsm.icmc.usp.br/6WPSM/program_6WPSM.pdf -
Vancouver
Paixão RS, Ehlers RS. Zero-Variance principle for Hamiltonian Monte Carlo in GJR-GARCH models [Internet]. Abstracts. 2018 ;[citado 2026 jan. 21 ] Available from: http://wpsm.icmc.usp.br/6WPSM/program_6WPSM.pdf - Bayesian inference for the log-symmetric autoregressive conditional duration model
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