Bayesian Inference on Mixture-of-Experts for Estimation of Stochastic Volatility
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Publication:3571986
DOI10.1016/S0731-9053(05)20030-0zbMath1190.91165MaRDI QIDQ3571986
Gabriel Huerta, Alejandro Villagran
Publication date: 30 June 2010
Published in: Advances in Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0731-9053(05)20030-0
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G70: Statistical methods; risk measures
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