Value at risk estimation under stochastic volatility models using adaptive PMCMC methods - researchr publication

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Xinxia Yang, Ratthachat Chatpatanasiri, Pairote Sattayatham. Value at risk estimation under stochastic volatility models using adaptive PMCMC methods. Communications in Statistics - Simulation and Computation, 46(9):7221-7237, 2017. [doi]

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