A new filtering inference procedure for a GED state-space volatility model

DOI10.1016/J.JSPI.2022.02.009zbMath1497.62275OpenAlexW4220658453MaRDI QIDQ2156805

Thiago Rezende

Publication date: 20 July 2022

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2022.02.009

zbMATH Keywords

exchange rateBayesian dynamic modelCOVID-19currencyapproximated smoothing procedureconjugate updated procedure \(1\) (CUP1)

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15)

Uses Software

• SsfPack
• NGSSEML

Cites Work

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