Bayesian inference methods for univariate and multivariate Garch models : a survey
Audrone Virbickaite, M. Concepción Ausín and Pedro Galeano
| 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 | Statistische Methodenlehre | Statistical theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011381831