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~isPartOf:"Discussion paper / Tinbergen Institute"
~person:"Hoogerheide, Lennart F."
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Bayesian estimation of the GARCH(1,1) model with
student-t
innovations
Ardia, David
;
Hoogerheide, Lennart F.
-
2010
parsimonious and effective GARCH(1,1) model with
Student-t
innovations. The estimation procedure is fully automatic and thus avoids …
Persistent link: https://www.econbiz.de/10011380176
Saved in:
2
Efficient Bayesian estimation and combination of GARCH-type models
Ardia, David
;
Hoogerheide, Lennart F.
-
2010
-
This version: January 22, 2010
of
Student-t
distributions as an approximation to the posterior density of the model parameters. This density is then …
Persistent link: https://www.econbiz.de/10011380465
Saved in:
3
Adaptive mixture of
student-t
distributions as a flexible Candidate distribution for efficient simulation
Ardia, David
;
Hoogerheide, Lennart F.
;
Dijk, Herman K. van
-
2008
-
Version of this paper: December 12, 2008
adaptive mixture of
Student-t
distributions to the density of interest via its kernel function. Then, importance sampling or …
Persistent link: https://www.econbiz.de/10011376537
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