A Markov-Chain Sampling Algorithm for GARCH Models (Q3368228)

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A Markov-Chain Sampling Algorithm for GARCH Models
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    title
    A Markov-Chain Sampling Algorithm for GARCH Models (English)
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    author
    Teruo Nakatsuma
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    publication date
    27 January 2006
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    zbMATH DE Number
    5002304
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    zbMATH Keywords
    Bayesian inference
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    GARCH
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    Markov-chain Monte Carlo
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    Metropolis-Hastings algorithm
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    describes a project that uses
    GAUSS
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    SIMANN
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