Bayesian semiparametric double autoregressive modeling

DOI10.1155/2019/4267532MaRDI QIDQ2298423zbMATHOpenAlexWikidataFDO

Authors Yanyan Li

Publication date 20 February 2020

Published in Mathematical Problems in Engineering (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1155/2019/4267532

Mathematics Subject Classification ID

Bayesian inference (62F15) Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• A Bayesian semiparameteric analysis of ARCH models
• Bayesian semiparametric stochastic volatility modeling
• Bayesian semiparametric multivariate GARCH modeling
• Quantile double AR time series models for financial returns
• A semiparametric Bayesian approach to the analysis of financial time series with applications to value at risk estimation

Cites work

• scientific article; zbMATH DE number 774881 (Why is no real title available?)
• scientific article; zbMATH DE number 5224887 (Why is no real title available?)
• scientific article; zbMATH DE number 3390110 (Why is no real title available?)
• A Bayesian analysis of some nonparametric problems
• A Bayesian non-parametric approach to asymmetric dynamic conditional correlation model with application to portfolio selection
• A Bayesian semiparametric model for volatility with a leverage effect
• A Markov-Chain Sampling Algorithm for GARCH Models
• A semiparametric Bayesian approach to the analysis of financial time series with applications to value at risk estimation
• Analysis of dependent competing risks in the presence of progressive hybrid censoring using Marshall-Olkin bivariate Weibull distribution
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Bayesian Density Estimation and Inference Using Mixtures
• Bayesian analysis of ARMA-GARCH models: a Markov chain sampling approach
• Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
• Bayesian nonparametric modelling of the return distribution with stochastic volatility
• Bayesian semiparametric multivariate GARCH modeling
• Bayesian semiparametric stochastic volatility modeling
• Covariance matrix estimation for estimators of mixing weak ARMA models
• Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture
• Estimating linear representations of nonlinear processes
• Generalized autoregressive conditional heteroscedasticity
• On a class of Bayesian nonparametric estimates: I. Density estimates
• Semiparametric Bayesian Inference of Long‐Memory Stochastic Volatility Models
• Subadditive ergodic theory
• \(L_1\) geometric ergodicity of a multivariate nonlinear AR model with an ARCH term.

Cited in

(5)

• Bayesian inference on double seasonal autoregressive models
• Bayesian analysis of double seasonal autoregressive models
• A Bayesian semiparameteric analysis of ARCH models
• Quantile double AR time series models for financial returns
• A quadratic interpolation-based variational Bayesian algorithm for measurement information lost in underwater navigation

This page was built for publication: Bayesian semiparametric double autoregressive modeling

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2298423)