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~person:"Bauwens, Luc"
~source:"repec"
~subject:"Structural breaks"
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Structural breaks
GARCH
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ill-behaved posterior
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polar coordinates
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Bauwens, Luc
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A Bayesian method of change-point estimation with recurrent regimes: Application to
GARCH
models
Bauwens, Luc
;
De Backer, Bruno
;
Dufays, Arnaud
- In:
Journal of Empirical Finance
29
(
2014
)
C
,
pp. 207-229
We present an estimation and forecasting method, based on a differential evolution MCMC method, for inference in
GARCH
…
Persistent link: https://www.econbiz.de/10011116269
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