Efficient Gibbs sampling for Markov switching GARCH models
From MaRDI portal
Publication:1659098
DOI10.1016/j.csda.2014.04.011zbMath1466.62032arXiv1212.5397MaRDI QIDQ1659098
Anthony Osuntuyi, Monica Billio, Roberto Casarin
Publication date: 15 August 2018
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1212.5397
62-08: Computational methods for problems pertaining to statistics
62P05: Applications of statistics to actuarial sciences and financial mathematics
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