Bayesian inference of smooth transition autoregressive (STAR)\((k)\)-GARCH\((l, m)\) models (Q2029214)
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scientific article; zbMATH DE number 7354459
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Bayesian inference of smooth transition autoregressive (STAR)\((k)\)-GARCH\((l, m)\) models |
scientific article; zbMATH DE number 7354459 |
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Bayesian inference of smooth transition autoregressive (STAR)\((k)\)-GARCH\((l, m)\) models (English)
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3 June 2021
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generalised ARCH (GARCH)
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Gibbs sampler algorithm
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Metropolis-Hastings algorithm
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nonlinear time series models
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regime switching volatility
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reversible jump MCMC algorithm
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0.92621034
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0.90541077
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0.9047786
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0.88557017
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0.8849246
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0.8825426
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0.8810376
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