On sensitivity of inference in Bayesian MSF-MGARCH models
Jacek Osiewalski and Anna Pajor
| Year of publication: |
2019
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|---|---|
| Authors: | Osiewalski, Jacek ; Pajor, Anna |
| Published in: |
Central European journal of economic modelling and econometrics. - [Erscheinungsort nicht ermittelbar] : Versita, ISSN 2080-119X, ZDB-ID 2529566-4. - Vol. 11.2019, 3, p. 173-197
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| Subject: | Bayesian econometrics | Gibbs sampling | time-varying volatility | multivariate GARCH processes | multivariate SV processes | Bayes-Statistik | Bayesian inference | Volatilität | Volatility | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Multivariate Analyse | Multivariate analysis | Schätztheorie | Estimation theory | Ökonometrie | Econometrics | Schätzung | Estimation |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.24425/cejeme.2019.130677 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012294603