Bayesian analysis of mixture of autoregressive components with an application to financial market volatility
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Publication:3439757
DOI10.1002/ASMB.613zbMath1115.62088OpenAlexW2120363443MaRDI QIDQ3439757
Publication date: 29 May 2007
Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/asmb.613
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Numerical analysis or methods applied to Markov chains (65C40)
Related Items (2)
Bayesian analysis of mixture autoregressive models covering the complete parameter space ⋮ On first and second order stationarity of random coefficient models
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