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Equity return models, parameter uncertainty, Bayesian estimation, high-frequency data, jump-robust volatility measures, value at risk, forecasting
Equity return models, Parameter uncertainty, Bayesian estimation, MCMC, High-frequency data, Jump-robust volatility measures, Value at Risk, Forecasting
market risk, value at risk, backtesting, profit and loss, financial crisis
Bayesian estimation, CDS, CIR process, Credit derivatives, MCMC, Particle filter, Stochastic time change
Stochastic time change, default intensity, credit risk, CDS options
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File name: MAFI.
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time change, default intensity, credit risk, CDS options
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