A Bayesian Perspective on Mixed GARCH Models with Jumps
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Publication:2950563
DOI10.1007/978-3-642-35443-4_10zbMath1322.91057OpenAlexW5796491MaRDI QIDQ2950563
Yi-Ru Lin, Cathy W. S. Chen, Edward M. H. Lin
Publication date: 9 October 2015
Published in: Uncertainty Analysis in Econometrics with Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-642-35443-4_10
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Economic time series analysis (91B84)
Cites Work
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- Comparison of nonnested asymmetric heteroskedastic models
- ARCH modeling in finance. A review of the theory and empirical evidence
- Generalized autoregressive conditional heteroscedasticity
- Marginal Likelihood from the Gibbs Output
- Equation of State Calculations by Fast Computing Machines
- Monte Carlo sampling methods using Markov chains and their applications
- Bayesian inference on GARCH models using the Gibbs sampler
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