Estimation and inference for exponential smooth transition nonlinear volatility models (Q1044066)
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scientific article; zbMATH DE number 5645030
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimation and inference for exponential smooth transition nonlinear volatility models |
scientific article; zbMATH DE number 5645030 |
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Estimation and inference for exponential smooth transition nonlinear volatility models (English)
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10 December 2009
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asymmetric
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Bayesian inference
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heteroskedastic
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Markov chain Monte Carlo (MCMC)
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normal scale mixtures distribution
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smooth transition autoregression
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