Modelling nonlinearities and heavy tails via threshold normal mixture GARCH models
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Publication:1023483
DOI10.1016/j.csda.2007.05.007zbMath1368.62244MaRDI QIDQ1023483
Petros Dellaportas, Ioannis D. Vrontos, D. Giannikis
Publication date: 12 June 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.2007.05.007
Markov chain Monte Carlo; Bayesian inference; stochastic search; value at risk; autoregressive conditional heteroscedasticity
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