Bayesian estimation of ARMA-GARCH model of weekly foreign exchange rates

DOI10.1023/A:1010058509622zbMath1157.91430MaRDI QIDQ1012320

Hiroki Tsurumi, Teruo Nakatsuma

Publication date: 15 April 2009

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

zbMATH Keywords

GARCH; Bayesian inference; foreign exchange rate

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

62F15: Bayesian inference

91B84: Economic time series analysis

91B82: Statistical methods; economic indices and measures