Nonlinear autoregressive model with stochastic volatility innovations: semiparametric and Bayesian approach (Q724486)
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scientific article; zbMATH DE number 6910404
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| English | Nonlinear autoregressive model with stochastic volatility innovations: semiparametric and Bayesian approach |
scientific article; zbMATH DE number 6910404 |
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Nonlinear autoregressive model with stochastic volatility innovations: semiparametric and Bayesian approach (English)
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26 July 2018
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stochastic volatility
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semiparametric estimation
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sequential Monte Carlo filtering
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Bayesian estimation
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0.90558946
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0.8977923
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0.8966441
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0.8965206
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0.89196014
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0.89131016
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0.8875811
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