Flexible modeling of dependence in volatility processes
Maria Kalli; Jim Griffin
| Year of publication: |
2015
|
|---|---|
| Authors: | Kalli, Maria ; Griffin, Jim |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Alexandria, Va. : American Statistical Association, ISSN 0735-0015, ZDB-ID 876122-X. - Vol. 33.2015, 1, p. 102-113
|
| Subject: | Aggregation | Bayesian nonparametric | Dirichlet process | Long-range dependence | MCMC | Stochastic volatility | Volatilität | Volatility | Theorie | Theory | Stochastischer Prozess | Stochastic process | Bayes-Statistik | Bayesian inference | Nichtparametrisches Verfahren | Nonparametric statistics | Monte-Carlo-Simulation | Monte Carlo simulation | Markov-Kette | Markov chain | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model |