Bayesian estimation of ARMA-GARCH model of weekly foreign exchange rates (Q1012320)

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Bayesian estimation of ARMA-GARCH model of weekly foreign exchange rates
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    title
    Bayesian estimation of ARMA-GARCH model of weekly foreign exchange rates (English)
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    author
    Teruo Nakatsuma
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    Hiroki Tsurumi
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    publication date
    15 April 2009
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    Mathematics Subject Classification ID
    91B82
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    91B84
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    62P05
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    62F15
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    62M10
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    zbMATH DE Number
    5543965
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    zbMATH Keywords
    GARCH
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    foreign exchange rate
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    Bayesian inference
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