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11-020/4 - Stock Index Returns' Density Prediction using GARCH Models: Frequentist or Bayesian Estimation?


  • Authors
    Lennart F. Hoogerheide, Erasmus University Rotterdam; David Ardia, aeris CAPITAL; Nienke Corre
  • Publication date
    January 31, 2011
  • Keywords
    GARCH, Bayesian, KLIC, censored likelihood
  • JEL
    C11, C52, C53, C58