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Bayesian estimation of stochastic tail index from high-frequency financial data

Springer Science and Business Media LLC, Vol. 61, No. 5, Kasım 2020, ISSN: 0377-7332

DOĞAN OSMAN, TAŞPINAR SÜLEYMAN, BERA ANİL K.

Osman Doğan Article Stochastic tail index models Stochastic volatility models Extreme values Extreme value theory Tail index Bayesian inference MCMC DIC High-frequency data

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