Ausín, M. Concepción; Galeano, Pedro; Ghosh, Pulak - In: European Journal of Operational Research 232 (2014) 2, pp. 350-358
GARCH models are commonly used for describing, estimating and predicting the dynamics of financial returns. Here, we relax the usual parametric distributional assumptions of GARCH models and develop a Bayesian semiparametric approach based on modeling the innovations using the class of scale...