Bayesian semiparametric double autoregressive modeling

DOI10.1155/2019/4267532zbMATH Open1435.62340OpenAlexW2959253404WikidataQ127485029 ScholiaQ127485029MaRDI QIDQ2298423FDOQ2298423

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

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Mathematics Subject Classification ID

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

Cites Work

• Generalized autoregressive conditional heteroscedasticity
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• A semiparametric Bayesian approach to the analysis of financial time series with applications to value at risk estimation
• Bayesian semiparametric stochastic volatility modeling
• Bayesian semiparametric multivariate GARCH modeling
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• Bayesian analysis of ARMA-GARCH models: a Markov chain sampling approach
• Covariance matrix estimation for estimators of mixing weak ARMA models
• \(L_1\) geometric ergodicity of a multivariate nonlinear AR model with an ARCH term.
• A Bayesian semiparametric model for volatility with a leverage effect
• Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture
• Analysis of dependent competing risks in the presence of progressive hybrid censoring using Marshall-Olkin bivariate Weibull distribution
• A Bayesian non-parametric approach to asymmetric dynamic conditional correlation model with application to portfolio selection
• A Markov-Chain Sampling Algorithm for GARCH Models

Cited In (5)

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

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