Bayesian Nonparametric Panel Markov-Switching GARCH Models

DOI10.1080/07350015.2023.2166049arXiv2012.10124OpenAlexW3117148402MaRDI QIDQ6150355

Mauro Costantini, Roberto Casarin, Anthony Osuntuyi

Publication date: 6 March 2024

Published in: Journal of Business & Economic Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2012.10124

zbMATH Keywords

time seriesBayesian nonparametricsGibbs samplingGARCH modelsMarkov-switching

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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