Bayesian Inference on Mixture-of-Experts for Estimation of Stochastic Volatility

DOI10.1016/S0731-9053(05)20030-0zbMath1190.91165MaRDI QIDQ3571986

Gabriel Huerta, Alejandro Villagran

Publication date: 30 June 2010

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

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G70: Statistical methods; risk measures

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