Bayesian estimation of Gegenbauer long memory processes with stochastic volatility : methods and applications
Andrew Phillip, Jennifer S.K. Chan, Shelton Peiris
| Year of publication: |
Jun 2018
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| Authors: | Phillip, Andrew ; Chan, Jennifer S. K. ; Peiris, Shelton |
| 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. 22.2018, 3, p. 1-29
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| Subject: | Gegenbauer | long memory | MCMC | stochastic volatility | time series | Zeitreihenanalyse | Time series analysis | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Monte-Carlo-Simulation | Monte Carlo simulation | Schätzung | Estimation | Schätztheorie | Estimation theory | Markov-Kette | Markov chain | Bayes-Statistik | Bayesian inference |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1515/snde-2015-0110 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011897536