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

From MaRDI portal
Set OpenAlex properties.
ReferenceBot (talk | contribs)
Changed an Item
Property / cites work
 
Property / cites work: Modelling volatility by variance decomposition / rank
 
Normal rank
Property / cites work
 
Property / cites work: Fractionally integrated generalized autoregressive conditional heteroskedasticity / rank
 
Normal rank
Property / cites work
 
Property / cites work: Modelling long memory and structural breaks in conditional variances: an adaptive FIGARCH approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: Generalized autoregressive conditional heteroscedasticity / rank
 
Normal rank
Property / cites work
 
Property / cites work: ARCH modeling in finance. A review of the theory and empirical evidence / rank
 
Normal rank
Property / cites work
 
Property / cites work: Falling and explosive, dormant, and rising markets via multiple‐regime financial time series models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Bayesian value-at-risk and expected shortfall forecasting via the asymmetric Laplace distribution / rank
 
Normal rank
Property / cites work
 
Property / cites work: Statistical inference for time-varying ARCH processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Monte Carlo sampling methods using Markov chains and their applications / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the shape of posterior densities and credible sets in instrumental variable regression models with reduced rank: an application of flexible sampling methods using neural networks / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Bayesian approach to relaxing parameter restrictions in multivariate GARCH models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Equation of State Calculations by Fast Computing Machines / rank
 
Normal rank

Revision as of 11:16, 17 July 2024

scientific article
Language Label Description Also known as
English
Bayesian estimation of smoothly mixing time-varying parameter GARCH models
scientific article

    Statements

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

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references