Bayesian analysis of periodic asymmetric power GARCH models

DOI10.1515/snde-2018-0112OpenAlexW2981666409MaRDI QIDQ2697099

Nacer Demmouche, Stefanos Dimitrakopoulos, Nassim Touche, Abdelhakim Aknouche

Publication date: 17 April 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-2018-0112

zbMATH Keywords

Bayesian forecastingvalue at riskdeviance information criterionprobability propertiesGriddy-Gibbsperiodic asymmetric power GARCH model

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items (3)

Portmanteau tests for periodic ARMA models with dependent errors ⋮ On an independent-switching periodic autoregressive conditional duration ⋮ Periodic autoregressive conditional duration

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