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Property / DOI: 10.1016/j.csda.2007.05.007 / rank
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Property / full work available at URL: https://doi.org/10.1016/j.csda.2007.05.007 / rank
 
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Latest revision as of 13:27, 10 December 2024

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Modelling nonlinearities and heavy tails via threshold normal mixture GARCH models
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    Modelling nonlinearities and heavy tails via threshold normal mixture GARCH models (English)
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    12 June 2009
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    autoregressive conditional heteroscedasticity
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    Bayesian inference
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    Markov chain Monte Carlo
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    stochastic search
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    value at risk
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