We estimate by Bayesian inference the mixed conditional heteroskedasticity model of Haas et al. (2004a Journal of Financial Econometrics 2, 211–50). We construct a Gibbs sampler algorithm to compute ...
In my practice, I find most people involved with advanced analytics, such as predictive, data science, and ML, are familiar with the name Bayes, and can even reproduce the simple theorem below. Still, ...
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