Stochastic volatility models using Hamiltonian Monte Carlo methods and Stan (2019)
- Authors:
- Autor USP: EHLERS, RICARDO SANDES - ICMC
- Unidade: ICMC
- Subjects: DISTRIBUIÇÕES (PROBABILIDADE); INFERÊNCIA BAYESIANA; PROCESSOS ESTOCÁSTICOS
- Language: Inglês
- Imprenta:
- Source:
- Título do periódico: Libro de resúmenes
- Conference titles: Congreso Bayesiano de America Latina
-
ABNT
EHLERS, Ricardo Sandes e SOUZA, David. Stochastic volatility models using Hamiltonian Monte Carlo methods and Stan. 2019, Anais.. Lima: PUCP, 2019. Disponível em: https://www.dropbox.com/s/99p8o4a93tcbktk/VICOBAL2019.pdf?dl=0. Acesso em: 28 set. 2024. -
APA
Ehlers, R. S., & Souza, D. (2019). Stochastic volatility models using Hamiltonian Monte Carlo methods and Stan. In Libro de resúmenes. Lima: PUCP. Recuperado de https://www.dropbox.com/s/99p8o4a93tcbktk/VICOBAL2019.pdf?dl=0 -
NLM
Ehlers RS, Souza D. Stochastic volatility models using Hamiltonian Monte Carlo methods and Stan [Internet]. Libro de resúmenes. 2019 ;[citado 2024 set. 28 ] Available from: https://www.dropbox.com/s/99p8o4a93tcbktk/VICOBAL2019.pdf?dl=0 -
Vancouver
Ehlers RS, Souza D. Stochastic volatility models using Hamiltonian Monte Carlo methods and Stan [Internet]. Libro de resúmenes. 2019 ;[citado 2024 set. 28 ] Available from: https://www.dropbox.com/s/99p8o4a93tcbktk/VICOBAL2019.pdf?dl=0 - Comparing multivariate GARCH-DCC models using Hamiltonian Monte Carlo and Stan
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- Computational tools for comparing asymmetric GARCH models via Bayes factors
- Outliers identification on spatial models
- Zero variance estimator for GJR-GARCH models via Hamiltonian Monte Carlo
- A Study Hamiltonian Monte Carlo methods in univariate GARCH models
- Modelos de volatilidade estocástica utilizando os métodos de Langevin ajustado Metropolis e de Monte Carlo Hamiltoniano
- Influential observations in spatial models using Bregman divergence
- A study of skewed heavy-tailed distributions as scale mixtures
- Bayesian inference for GJR-GARCH models via Hamiltonian Monte Carlo
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