Efficient Gibbs sampling for Markov switching GARCH models (Q1659098)

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Efficient Gibbs sampling for Markov switching GARCH models
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    title
    Efficient Gibbs sampling for Markov switching GARCH models (English)
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    author
    Monica Billio
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    Roberto Casarin
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    Anthony Osuntuyi
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    publication date
    15 August 2018
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    zbMATH DE Number
    6918322
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    zbMATH Keywords
    Bayesian inference
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    GARCH
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    Markov-switching
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    multiple-try Metropolis
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    OpenAlex ID
    W2004716732
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