Bayesian non-parametric mixtures of GARCH(1,1) models
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Publication:454766
DOI10.1155/2012/167431zbMath1263.62111WikidataQ58910951 ScholiaQ58910951MaRDI QIDQ454766
Publication date: 10 October 2012
Published in: Journal of Probability and Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2012/167431
62G08: Nonparametric regression and quantile regression
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05: Applications of statistics to actuarial sciences and financial mathematics
62F15: Bayesian inference
65C40: Numerical analysis or methods applied to Markov chains
Related Items
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