Semiparametric GARCH via Bayesian model averaging
Wilson Ye Chen and Richard H. Gerlach
| Year of publication: |
2021
|
|---|---|
| Authors: | Chen, Wilson Ye ; Gerlach, Richard H. |
| Subject: | Functional coefficient | Heavy tail | Markov chain Monte Carlo | News impact function | Regression spline | Volatility | Markov-Kette | Markov chain | Bayes-Statistik | Bayesian inference | Volatilität | Monte-Carlo-Simulation | Monte Carlo simulation | ARCH-Modell | ARCH model | Schätzung | Estimation | Nichtparametrisches Verfahren | Nonparametric statistics | Schätztheorie | Estimation theory | Regressionsanalyse | Regression analysis |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07350015.2019.1668796 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012499090