Data cloning estimation of GARCH and COGARCH models

DOI10.1080/00949655.2014.903948zbMath1457.62273OpenAlexW1979745306MaRDI QIDQ5220829

No author found.

Publication date: 27 March 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10016/17380

zbMATH Keywords

Lévy processBayesian inferenceGARCH modelMCMC algorithmcontinuous-time GARCH processdata cloningCOGARCH model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15)

Uses Software

• R
• JAGS
• runjags
• TSA
• dclone

Cites Work

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