Volatility, Jumps, and Predictability of Returns: A Sequential Analysis
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- S. Bordignon & D. Raggi, 2008. "Volatility, Jumps and Predictability of Returns: a Sequential Analysis," Working Papers 636, Dipartimento Scienze Economiche, Universita' di Bologna.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Lawal A. I. & Oloye M. I. & Otekunrin A. O. & Ajayi S. A., 2013. "Returns on Investments and Volatility Rate in the Nigerian Banking Industry," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 3(10), pages 1298-1313, October.
More about this item
KeywordsAuxiliary particle filters; Bayesian estimation; Leverage; MCMC; Return's predictability; Stochastic volatility with jumps;
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