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Estimating and forecasting structural breaks in financial time series
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Document type | Document de travail (Working Paper) |
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Access type | Accès libre |
Publication date | 2011 |
Language | Anglais |
Collection | CORE Discussion Paper - 2011/55 |
Affiliations |
UCL
- SSH/LIDAM/CORE - Center for operations research and econometrics Banque Centrale du Luxembourg - / |
Keywords | Bayesian inference ; structural breaks ; differential evolution ; change-point ; recurrent states ; break forecasting ; marginal likelihood |
Links |
Bibliographic reference | Bauwens, Luc ; Dufays, Arnaud ; de Backer, Bruno. Estimating and forecasting structural breaks in financial time series. CORE Discussion Paper ; 2011/55 (2011) |
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Permanent URL | http://hdl.handle.net/2078.1/93464 |