Stochastic multivariate mixture covariance model
Mike K. P. So, Raymond W. M. Li, Manabu Asai and Yue Jiang
| Year of publication: |
March 2017
|
|---|---|
| Authors: | So, Mike Ka-pui ; Li, Raymond W. M. ; Asai, Manabu ; Jiang, Yue |
| Published in: |
Journal of forecasting. - Chichester : Wiley, ISSN 0277-6693, ZDB-ID 783432-9. - Vol. 36.2017, 2, p. 139-155
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| Subject: | Bayesian model selection | MCMC sampling | mixture modeling | stochastic covariance model | Theorie | Theory | Bayes-Statistik | Bayesian inference | Korrelation | Correlation | Stochastischer Prozess | Stochastic process | Stichprobenerhebung | Sampling | Volatilität | Volatility | Markov-Kette | Markov chain | Monte-Carlo-Simulation | Monte Carlo simulation | ARCH-Modell | ARCH model | Multivariate Analyse | Multivariate analysis | Modellierung | Scientific modelling |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1002/for.2419 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011729126