Bayesian Clustering of Many Garch Models

DOI10.1080/07474930701220576zbMath1112.62016OpenAlexW2162460645MaRDI QIDQ5292354

Luc Bauwens, Jeroen V. K. Rombouts

Publication date: 20 June 2007

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474930701220576

zbMATH Keywords

clusteringGARCHBayesian inferenceGibbs samplingmixtures

Mathematics Subject Classification ID

Classification and discrimination; cluster analysis (statistical aspects) (62H30) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15)

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