Reza Solgi

Swiss Finance Institute

c/o University of Geneva

40, Bd du Pont-d'Arve

CH-1211 Geneva 4

Switzerland

SCHOLARLY PAPERS

1

DOWNLOADS

132

CITATIONS

0

Scholarly Papers (1)

1.

A Bayesian Semiparametric Multiplicative Error Model with an Application to Realized Volatility

Number of pages: 35 Posted: 11 Nov 2012 Last Revised: 18 May 2013
Reza Solgi and Antonietta Mira
Swiss Finance Institute and Università della Svizzera italiana - InterDisciplinary Institute of Data Science
Downloads 114 (184,116)

Abstract:

Dirichlet process mixture model, multiplicative error model, slice sampler, realized volatility, parameter expansion