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Semiparametric Bayesian Approach using Weighted Dirichlet Process Mixture For Finance Statistical Models

Sun, PengVirginia Tech2016

… and the last one is to develop WDPM approach for Generalized AutoRegressive Conditional Heteroskedasticity (GARCH) model (as an alternative approach for SV model) and propose a new model evaluation approach for GARCH which produces easier-to-interpret result compared to the canonical marginal …

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