Bayesian inference on mixture-of-experts for estimation of stochastic volatility

DOI10.1016/S0731-9053(05)20030-0MaRDI QIDQ3571986zbMATH OpenOpenAlexFDO

Authors Alejandro Villagran, Gabriel Huerta

Publication date 30 June 2010

Published in Advances in Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0731-9053(05)20030-0

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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• Multivariate time series modeling and classification via hierarchical VAR mixtures
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