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
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | 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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