Bayesian estimation of smoothly mixing time-varying parameter GARCH models (Q1623521): Difference between revisions
From MaRDI portal
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
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
0 references
0 references
0 references
0 references