Bayesian inference of multiple structural change models with asymmetric GARCH errors
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Publication:2062347
DOI10.1007/s10260-020-00549-zzbMath1480.62173OpenAlexW3107164011MaRDI QIDQ2062347
Publication date: 27 December 2021
Published in: Statistical Methods and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10260-020-00549-z
Markov chain Monte Carlo methodsstructural changebreakpointsdeviance information criterion (DIC)segmented modelskew student-t distribution
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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