Bayesian estimation of smooth transition GARCH model using Gibbs sampling (Q1418604)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Bayesian estimation of smooth transition GARCH model using Gibbs sampling |
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Bayesian estimation of smooth transition GARCH model using Gibbs sampling (English)
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14 January 2004
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MCMC
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Asymmetric GARCH
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Nonlinear modelling
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Smooth transition
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Regimes
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Financial time series
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