Bayesian analysis of a threshold stochastic volatility model
Tony S. Wirjanto, Adam W. Kolkiewicz and Zhongxian Men
| Year of publication: |
August 2016
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|---|---|
| Authors: | Wirjanto, Tony S. ; Kolkiewicz, Adam W. ; Men, Zhongxian |
| Published in: |
Journal of forecasting. - Chichester : Wiley, ISSN 0277-6693, ZDB-ID 783432-9. - Vol. 35.2016, 5, p. 462-476
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| Subject: | threshold stochastic volatility | Bayesian inference | Markov chain Monte Carlo | deviance information criteria (DIC) | Bayes-Statistik | Theorie | Theory | Volatilität | Volatility | Markov-Kette | Markov chain | Monte-Carlo-Simulation | Monte Carlo simulation | Stochastischer Prozess | Stochastic process | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/for.2397 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011580989