Modelling nonlinearities and heavy tails via threshold normal mixture GARCH models (Q1023483): Difference between revisions
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Latest revision as of 13:27, 10 December 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | 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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