Bayesian estimation of Gegenbauer long memory processes with stochastic volatility: methods and applications

DOI10.1515/snde-2015-0110OpenAlexW2794406212MaRDI QIDQ2691760

M. Shelton Peiris, Andrew Phillip, Jennifer So-Kuen Chan

Publication date: 30 March 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2015-0110

zbMATH Keywords

time seriesstochastic volatilitylong memoryMCMCGegenbauer

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15)

Related Items (2)

Bayesian estimation of Gegenbauer processes ⋮ Estimation methods for stationary Gegenbauer processes

Uses Software

• BayesDA

Cites Work

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