Bayesian estimation of ARMA-GARCH model of weekly foreign exchange rates
From MaRDI portal
Publication:1012320
DOI10.1023/A:1010058509622zbMath1157.91430MaRDI QIDQ1012320
Hiroki Tsurumi, Teruo Nakatsuma
Publication date: 15 April 2009
Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05: Applications of statistics to actuarial sciences and financial mathematics
62F15: Bayesian inference
91B84: Economic time series analysis
91B82: Statistical methods; economic indices and measures