Bayesian modelling of time-varying conditional heteroscedasticity (Q6117927)

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scientific article; zbMATH DE number 7808150
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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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