Bayesian Analysis of a Doubly Truncated ARMA-GARCH Model
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Publication:3368385
DOI10.2202/1558-3708.1166zbMath1081.91588OpenAlexW1969781610MaRDI QIDQ3368385
Publication date: 27 January 2006
Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2202/1558-3708.1166
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Sums of independent random variables; random walks (60G50) Numerical analysis or methods applied to Markov chains (65C40)