Data cloning estimation of GARCH and COGARCH models (Q5220829)
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scientific article; zbMATH DE number 7183168
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| English | Data cloning estimation of GARCH and COGARCH models |
scientific article; zbMATH DE number 7183168 |
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Data cloning estimation of GARCH and COGARCH models (English)
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27 March 2020
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GARCH model
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continuous-time GARCH process
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Lévy process
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COGARCH model
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data cloning
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Bayesian inference
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MCMC algorithm
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0.8083142042160034
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0.7804800271987915
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0.7737675905227661
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0.7661215662956238
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0.7637338042259216
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