LONG-RANGE DEPENDENT COMMON FACTOR MODELS: A BAYESIAN APPROACH

DOI10.1081/STA-100104349zbMath0993.62074OpenAlexW2073517251MaRDI QIDQ4540642

Nan-Jung Hsu, F. Jay Breidt, Bonnie K. Ray

Publication date: 28 July 2002

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1081/sta-100104349

zbMATH Keywords

Markov chain Monte Carlocointegrationlong memorymultivariate stochastic volatility

Mathematics Subject Classification ID

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

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