Estimation of time-varying autoregressive stochastic volatility models with stable innovations
DOI10.1007/s11222-021-09995-5zbMath1476.62017OpenAlexW3153657063MaRDI QIDQ2058757
Sebastian Uhl, Gernot J. Müller
Publication date: 9 December 2021
Published in: Statistics and Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11222-021-09995-5
stochastic volatilityfinite mixture modelGibbs samplingtime-varying coefficientsstable distributionelectricity spot prices
Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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