Bayesian estimation of the Gaussian mixture GARCH model
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Publication:1019890
DOI10.1016/j.csda.2006.01.006zbMath1161.62397OpenAlexW1966908276MaRDI QIDQ1019890
Pedro Galeano, María Concepción Ausín
Publication date: 29 May 2009
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2006.01.006
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15)
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