Bayesian testing for non-linearity in volatility modeling
type: Item
instance of: scholarly article
title: Bayesian testing for non-linearity in volatility modeling
zbMATH Open document ID: 1157.62524
author: Tatiana Miazhynskaia
author: Sylvia Frühwirth-Schnatter
author: Georg Dorffner
published in: Computational Statistics and Data Analysis
publication date: 2009-04-06T00:00:00Z
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62F15
Mathematics Subject Classification ID: 62M45
zbMATH DE Number: 5540543
zbMATH Keywords: volatility modeling
zbMATH Keywords: GARCH models
zbMATH Keywords: neural networks
zbMATH Keywords: Bayesian model selection
zbMATH Keywords: Markov chain Monte Carlo (MCMC)
describes a project that uses: tsbridge
MaRDI profile type: Publication
full work available at URL: j.csda.2005.12.014
OpenAlex ID: W1974038319
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DOI: 10.1016/J.CSDA.2005.12.014
description: scientific article; zbMATH DE number 5540543