Bayesian inference on GARCH models using the Gibbs sampler

DOI10.1111/1368-423x.11003MaRDI QIDQ6166851

Luc Bauwens, Michel Lubrano

Publication date: 7 July 2023

Published in: The Econometrics Journal (Search for Journal in Brave)

zbMATH Keywords

Monte Carlooption pricingGARCHGibbs samplerBayesian inference

Mathematics Subject Classification ID

Statistics (62-XX)

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