Modeling time-varying parameters using artificial neural networks: a GARCH illustration

DOI10.1515/snde-2019-0091OpenAlexW3092049788MaRDI QIDQ2700575

Arnaud Dufays, Morvan Nongni Donfack

Publication date: 27 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-2019-0091

zbMATH Keywords

neural networktime-varying parametersGARCHshrinkage priors

Mathematics Subject Classification ID

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

Uses Software

• t-walk
• Rtwalk
• emcee

Cites Work

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