Bayesian Nonparametric Panel Markov-Switching GARCH Models (Q6150355)

scientific article; zbMATH DE number 7813834

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English	Bayesian Nonparametric Panel Markov-Switching GARCH Models	scientific article; zbMATH DE number 7813834

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instance of

scholarly article

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title

Bayesian Nonparametric Panel Markov-Switching GARCH Models (English)

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arXiv ID

2012.10124

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DOI

10.1080/07350015.2023.2166049

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Journal of Business & Economic Statistics

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publication date

6 March 2024

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full work available at URL

https://arxiv.org/abs/2012.10124

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Mathematics Subject Classification ID

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Bayesian nonparametrics

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GARCH models

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Gibbs sampling

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Markov-switching

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time series

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MaRDI profile type

MaRDI publication profile

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OpenAlex ID

W3117148402

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Mathematics(1 entry)

mardi Publication:6150355