Bayesian estimation of smoothly mixing time-varying parameter GARCH models (Q1623521)

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Bayesian estimation of smoothly mixing time-varying parameter GARCH models
scientific article

    Statements

    title
    Bayesian estimation of smoothly mixing time-varying parameter GARCH models (English)
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    author
    Cathy W. S. Chen
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    Edward M. H. Lin
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    Richard H. Gerlach
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    publication date
    23 November 2018
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    zbMATH Keywords
    forecasting
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    Markov chain Monte Carlo method
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    smooth transition
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    structure breaks
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    value-at-risk
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    time-varying GARCH model
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    Identifiers

    Mathematics Subject Classification ID
    62-08
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    62P05
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    62F15
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    62M10
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    65C05
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    91G70
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    zbMATH DE Number
    6983974
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    OpenAlex ID
    W2007949724
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