The hierarchical-likelihood approach to autoregressive stochastic volatility models
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Publication:452568
DOI10.1016/j.csda.2010.04.014zbMath1247.91141MaRDI QIDQ452568
Joan del Castillo, Johan Lim, Youngjo Lee, Woo-Joo Lee
Publication date: 15 September 2012
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2010.04.014
prediction; hierarchical generalized linear model; hierarchical likelihood; autoregressive stochastic volatility model; sparse matrix computation
62P10: Applications of statistics to biology and medical sciences; meta analysis
91B82: Statistical methods; economic indices and measures
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