Bayesian semiparametric double autoregressive modeling (Q2298423)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Bayesian semiparametric double autoregressive modeling |
scientific article |
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Bayesian semiparametric double autoregressive modeling (English)
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20 February 2020
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Summary: This paper proposes a Bayesian semiparametric modeling approach for the return distribution in double autoregressive models. Monte Carlo investigation of finite sample properties and an empirical application are presented. The results indicate that the semiparametric model developed in this paper is valuable and competitive.
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