Bayesian modelling of time-varying conditional heteroscedasticity (Q6117927)
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scientific article; zbMATH DE number 7808150
Language | Label | Description | Also known as |
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English | Bayesian modelling of time-varying conditional heteroscedasticity |
scientific article; zbMATH DE number 7808150 |
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Bayesian modelling of time-varying conditional heteroscedasticity (English)
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21 February 2024
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autoregressive model
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B-splines
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Hamiltonian Monte Carlo (HMC)
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non-stationary
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posterior contraction
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volatility
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