Modelling nonlinearities and heavy tails via threshold normal mixture GARCH models (Q1023483): Difference between revisions
From MaRDI portal
Created a new Item |
Added link to MaRDI item. |
||
| links / mardi / name | links / mardi / name | ||
Revision as of 22:03, 30 January 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Modelling nonlinearities and heavy tails via threshold normal mixture GARCH models |
scientific article |
Statements
Modelling nonlinearities and heavy tails via threshold normal mixture GARCH models (English)
0 references
12 June 2009
0 references
autoregressive conditional heteroscedasticity
0 references
Bayesian inference
0 references
Markov chain Monte Carlo
0 references
stochastic search
0 references
value at risk
0 references
