Bayesian estimation for a semiparametric nonlinear volatility model
Shuowen Hu, D. S. Poskitt, Xibin Zhang
| Year of publication: |
2021
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|---|---|
| Authors: | Hu, Shuowen ; Poskitt, Donald Stephen ; Zhang, Xibin |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 98.2021, p. 361-370
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| Subject: | Backtesting | Cross-validation | Nadaraya-Watson estimator | Unknown error distribution | Value-at-risk | Schätztheorie | Estimation theory | Volatilität | Volatility | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Bayes-Statistik | Bayesian inference | Nichtparametrisches Verfahren | Nonparametric statistics | Schätzung | Estimation | Statistische Verteilung | Statistical distribution |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2020.11.005 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012793996