Bayesian statistical computations of nonlinear financial time series models: a survey with illustrations

DOI10.1023/A:1010052414254zbMath1157.91434OpenAlexW204530226MaRDI QIDQ1012207

Hiroki Tsurumi

Publication date: 15 April 2009

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1010052414254

zbMATH Keywords

stochastic volatilityquadrature formulaGARCHLaplace approximationMCMC

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Sums of independent random variables; random walks (60G50) Numerical analysis or methods applied to Markov chains (65C40)

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