Bayesian modelling of time-varying conditional heteroscedasticity

DOI10.1214/21-ba1267arXiv2009.06007OpenAlexW3159436285MaRDI QIDQ6117927

Sayar Karmakar, Arkaprava Roy

Publication date: 21 February 2024

Published in: Bayesian Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2009.06007

zbMATH Keywords

B-splinesautoregressive modelvolatilityposterior contractionnon-stationaryHamiltonian Monte Carlo (HMC)

Mathematics Subject Classification ID

Statistics (62-XX)

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