Bayesian inference methods for univariate and multivariate Garch models : a survey
Year of publication: |
2015
|
---|---|
Authors: | Virbickaite, Audrone ; Ausin, M. Concepción ; Galeano, Pedro |
Published in: |
Journal of economic surveys. - Oxford [u.a.] : Wiley-Blackwell, ISSN 0950-0804, ZDB-ID 722946-X. - Vol. 29.2015, 1, p. 76-96
|
Subject: | Bayesian inference | Dirichlet process mixture | Financial returns | GARCH models | Multivariate GARCH models | Volatility | ARCH-Modell | ARCH model | Bayes-Statistik | Volatilität | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | Multivariate Analyse | Multivariate analysis |
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