An infinite hidden Markov model with stochastic volatility
Chenxing Li, John M. Maheu, Qiao Yang
| Year of publication: |
2024
|
|---|---|
| Authors: | Li, Chenxing ; Maheu, John M. ; Yang, Qiao |
| Published in: |
Journal of forecasting. - New York, NY : Wiley Interscience, ISSN 1099-131X, ZDB-ID 2001645-1. - Vol. 43.2024, 6, p. 2187-2211
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| Subject: | MCMC | stochastic volatility | Bayesian | Markov-switching | nonparametric | semiparametric | Markov-Kette | Markov chain | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Nichtparametrisches Verfahren | Nonparametric statistics | Theorie | Theory | Bayes-Statistik | Bayesian inference | Schätzung | Estimation | Monte-Carlo-Simulation | Monte Carlo simulation |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/for.3123 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015110400