Computational tools for comparing asymmetric GARCH models via Bayes factors
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Publication:419441
DOI10.1016/J.MATCOM.2011.12.005zbMath1238.62102OpenAlexW1997064882MaRDI QIDQ419441
Publication date: 18 May 2012
Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.matcom.2011.12.005
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40)
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