Bayesian estimation of ARMA-GARCH model of weekly foreign exchange rates

DOI10.1023/A:1010058509622zbMath1157.91430OpenAlexW1568818029MaRDI QIDQ1012320

Hiroki Tsurumi, Teruo Nakatsuma

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:1010058509622

zbMATH Keywords

GARCHBayesian inferenceforeign exchange rate

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

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