Bayesian testing for non-linearity in volatility modeling
DOI10.1016/j.csda.2005.12.014zbMath1157.62524OpenAlexW1974038319MaRDI QIDQ1010548
Tatiana Miazhynskaia, Sylvia Frühwirth-Schnatter, Georg Dorffner
Publication date: 6 April 2009
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2005.12.014
neural networksBayesian model selectionMarkov chain Monte Carlo (MCMC)GARCH modelsvolatility modeling
Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Neural nets and related approaches to inference from stochastic processes (62M45)
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