Bayesian estimation of smoothly mixing time-varying parameter GARCH models (Q1623521): Difference between revisions

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Latest revision as of 23:17, 10 December 2024

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Bayesian estimation of smoothly mixing time-varying parameter GARCH models
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    Bayesian estimation of smoothly mixing time-varying parameter GARCH models (English)
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    23 November 2018
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    forecasting
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    Markov chain Monte Carlo method
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    smooth transition
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    structure breaks
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    value-at-risk
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    time-varying GARCH model
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