Modelling nonlinearities and heavy tails via threshold normal mixture GARCH models

DOI10.1016/j.csda.2007.05.007zbMath1368.62244MaRDI QIDQ1023483

Petros Dellaportas, Ioannis D. Vrontos, D. Giannikis

Publication date: 12 June 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2007.05.007

zbMATH Keywords

Markov chain Monte Carlo; Bayesian inference; stochastic search; value at risk; autoregressive conditional heteroscedasticity

Mathematics Subject Classification ID

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