Bayesian inference of smooth transition autoregressive (STAR)\((k)\)-GARCH\((l, m)\) models

DOI10.1007/s00362-018-1056-3zbMath1461.62156OpenAlexW2899915804WikidataQ128993427 ScholiaQ128993427MaRDI QIDQ2029214

Darfiana Nur, Glen jun. Livingston

Publication date: 3 June 2021

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-018-1056-3

zbMATH Keywords

Metropolis-Hastings algorithmnonlinear time series modelsreversible jump MCMC algorithmGibbs sampler algorithmgeneralised ARCH (GARCH)regime switching volatility

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical analysis or methods applied to Markov chains (65C40)

Related Items

Bayesian inference of multivariate-GARCH-BEKK models

Uses Software

• R

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