Estimation and Properties of a Time-Varying EGARCH(1,1) in Mean Model (Q5864358)
From MaRDI portal
scientific article; zbMATH DE number 7537818
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimation and Properties of a Time-Varying EGARCH(1,1) in Mean Model |
scientific article; zbMATH DE number 7537818 |
Statements
Estimation and Properties of a Time-Varying EGARCH(1,1) in Mean Model (English)
0 references
7 June 2022
0 references
Bayesian inference
0 references
dynamic heteroskedasticity
0 references
Markov chain Monte Carlo
0 references
simulated EM algorithm
0 references
0 references
