Bayesian inference for a mixture double autoregressive model

DOI10.1111/stan.12281OpenAlexW4307712672MaRDI QIDQ6068059

Xinyang Yu, Xiaogang Dong, Kai Yang, Qingqing Zhang

Publication date: 15 December 2023

Published in: Statistica Neerlandica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/stan.12281

zbMATH Keywords

Bayes factorBayesian estimationfinancial time seriesheteroscedasticity testmixture double autoregressive model

Mathematics Subject Classification ID

Parametric inference (62Fxx) Applications of statistics (62Pxx) Inference from stochastic processes (62Mxx)

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