Modeling time-varying parameters using artificial neural networks : a GARCH illustration
Morvan Nongni Donfack and Arnaud Dufays
| Year of publication: |
2021
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| Authors: | Donfack, Morvan Nongni ; Dufays, Arnaud |
| 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. 25.2021, 5, p. 311-343
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| Subject: | GARCH | neural network | shrinkage priors | time-varying parameters | Neuronale Netze | Neural networks | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Prognoseverfahren | Forecasting model | Schätztheorie | Estimation theory | Schätzung | Estimation | 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-2019-0091 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012806535