Bayesian nonparametric panel Markov-switching GARCH models
Roberto Casarin, Mauro Costantini, and Anthony Osuntuyi
| Year of publication: |
2024
|
|---|---|
| Authors: | Casarin, Roberto ; Costantini, Mauro ; Osuntuyi, Anthony |
| Subject: | Time series | Bayesian nonparametrics | GARCH models | Gibbs sampling | Markov-switching | ARCH-Modell | ARCH model | Bayes-Statistik | Bayesian inference | Markov-Kette | Markov chain | Zeitreihenanalyse | Time series analysis | Nichtparametrisches Verfahren | Nonparametric statistics | Theorie | Theory | Volatilität | Volatility |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07350015.2023.2166049 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014449842