Estimation and properties of a time-varying EGARCH(1,1) in mean model (Q5864358)
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scientific article; zbMATH DE number 7537818
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| English | Estimation and properties of a time-varying EGARCH(1,1) in mean model |
scientific article; zbMATH DE number 7537818 |
Statements
Estimation and Properties of a Time-Varying EGARCH(1,1) in Mean Model (English)
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7 June 2022
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Bayesian inference
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dynamic heteroskedasticity
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Markov chain Monte Carlo
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simulated EM algorithm
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0.965049922466278
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0.8082894086837769
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0.7991664409637451
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0.7874026894569397
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0.7872361540794373
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