NICDA Research Group
NICDA Research Group
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M. C. Ausín
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Structured factor copulas for modeling the systemic risk of European and United States banks
Copula stochastic volatility in oil returns: Approximate Bayesian computation with volatility prediction
Variational inference for high dimensional structured factor copulas
Parallel Bayesian inference for high-dimensional dynamic factor copulas
Particle learning for Bayesian semi-parametric stochastic volatility model
A Bayesian non-parametric approach to asymmetric dynamic conditional correlation model with applications to portfolio selection
Bayesian inference methods for univariate and multivariate GARCH models: A survey
A semiparametric Bayesian approach to the analysis of financial time series with applications to value at risk estimation
The Gaussian mixture conditional correlation model: Parameter estimation, value at risk calculation and portfolio selection
Bayesian estimation of the Gaussian mixture GARCH model
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