Bayesian non-parametric mixtures of GARCH(1,1) models

DOI10.1155/2012/167431zbMath1263.62111OpenAlexW1968584408WikidataQ58910951 ScholiaQ58910951MaRDI QIDQ454766

John W. Lau, Edward Cripps

Publication date: 10 October 2012

Published in: Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2012/167431

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Numerical analysis or methods applied to Markov chains (65C40)

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