Periodic autoregressive stochastic volatility (Q2412761)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Periodic autoregressive stochastic volatility |
scientific article |
Statements
Periodic autoregressive stochastic volatility (English)
0 references
27 October 2017
0 references
periodic stochastic volatility
0 references
periodic autoregression
0 references
QML via prediction error decomposition and Kalman filtering
0 references
Bayesian Griddy Gibbs sampler
0 references
single-move approach
0 references
DIC
0 references
0 references
