Estimation of time-varying autoregressive stochastic volatility models with stable innovations (Q2058757)
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scientific article; zbMATH DE number 7442035
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimation of time-varying autoregressive stochastic volatility models with stable innovations |
scientific article; zbMATH DE number 7442035 |
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Estimation of time-varying autoregressive stochastic volatility models with stable innovations (English)
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9 December 2021
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electricity spot prices
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finite mixture model
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Gibbs sampling
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stable distribution
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stochastic volatility
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time-varying coefficients
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