Bayesian analysis of periodic asymmetric power GARCH models
Abdelhakim Aknouche, Nacer Demmouche, Stefanos Dimitrakopoulos, Nassim Touche
| Year of publication: |
2020
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|---|---|
| Authors: | Aknouche, Abdelhakim ; Demmouche, Nacer ; Dimitrakopoulos, Stefanos ; Touche, Nassim |
| Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 24.2020, 4, p. 1-24
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| Subject: | Bayesian forecasting | Deviance Information Criterion | Griddy-Gibbs | periodic asymmetric power GARCH model | probability properties | Value at Risk | ARCH-Modell | ARCH model | Bayes-Statistik | Bayesian inference | Prognoseverfahren | Forecasting model | Theorie | Theory | Risikomaß | Risk measure | Volatilität | Volatility | Kapitaleinkommen | Capital income | Zeitreihenanalyse | Time series analysis | Aktienindex | Stock index |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1515/snde-2018-0112 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012299605