Browsing by Subject "Autorregressive Bayesian model"
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Distribuições preditiva e implícita para ativos financeiros
(Universidade Federal de São Carlos, UFSCar, Programa Interinstitucional de Pós-Graduação em Estatística - PIPGEs, Câmpus São Carlos, 01/06/2017)We present two different approaches to obtain a probability density function for the stock?s future price: a predictive distribution, based on a Bayesian time series model, and the implied distribution, based on Black & ...