Estimation and inference for exponential smooth transition nonlinear volatility models
type: Item
instance of: scholarly article
title: Estimation and inference for exponential smooth transition nonlinear volatility models
zbMATH Open document ID: 1177.62032
author: Cathy W. S. Chen
author: Richard Gerlach
author: S. T. Boris Choy
author: Celine Lin
published in: Journal of Statistical Planning and Inference
publication date: 2009-12-10T00:00:00Z
Mathematics Subject Classification ID: 62F15
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 65C60
Mathematics Subject Classification ID: 65C40
zbMATH DE Number: 5645030
zbMATH Keywords: asymmetric
zbMATH Keywords: Bayesian inference
zbMATH Keywords: heteroskedastic
zbMATH Keywords: Markov chain Monte Carlo (MCMC)
zbMATH Keywords: normal scale mixtures distribution
zbMATH Keywords: smooth transition autoregression
MaRDI profile type: Publication
full work available at URL: j.jspi.2009.09.002
OpenAlex ID: W3125320693
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DOI: 10.1016/J.JSPI.2009.09.002
description: scientific article; zbMATH DE number 5645030