Estimation and properties of a time-varying GQARCH(1,1)-M model

DOI10.1155/2011/718647zbMath1228.62105OpenAlexW2161173543WikidataQ58692058 ScholiaQ58692058MaRDI QIDQ642451

Antonis Demos, Sofia Anyfantaki

Publication date: 26 October 2011

Published in: Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2011/718647

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70) Bayesian inference (62F15) Numerical analysis or methods applied to Markov chains (65C40)

Related Items

Estimation and properties of a time-varying GQARCH(1,1)-M model, Estimation and Properties of a Time-Varying EGARCH(1,1) in Mean Model

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