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Publication:2736876
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zbMath0972.62081MaRDI QIDQ2736876

Peter Mueller, Andy Pole

Publication date: 11 September 2001


Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

Markov chain Monte Carlostate space modelexchange rate dataMetropolisgeneral dynamic model


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) Numerical analysis or methods applied to Markov chains (65C40)


Related Items (4)

Bayesian portfolio selection with multi-variate random variance models ⋮ A comparison of Bayesian model selection based on MCMC with an application to GARCH-type models ⋮ Bayesian analysis of ARMA-GARCH models: a Markov chain sampling approach ⋮ Bayesian estimation of the Gaussian mixture GARCH model







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