Bayesian estimation of smoothly mixing time-varying parameter GARCH models
type: Item
instance of: scholarly article
title: Bayesian estimation of smoothly mixing time-varying parameter GARCH models
zbMATH Open document ID: 1506.62038
author: Cathy W. S. Chen
author: Edward M. H. Lin
author: Richard Gerlach
published in: Computational Statistics and Data Analysis
publication date: 2018-11-23T00:00:00Z
Mathematics Subject Classification ID: 62-08
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62F15
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 65C05
Mathematics Subject Classification ID: 91G70
zbMATH DE Number: 6983974
zbMATH Keywords: forecasting
zbMATH Keywords: Markov chain Monte Carlo method
zbMATH Keywords: smooth transition
zbMATH Keywords: structure breaks
zbMATH Keywords: value-at-risk
zbMATH Keywords: time-varying GARCH model
describes a project that uses: CAViaR
MaRDI profile type: Publication
full work available at URL: j.csda.2013.09.019
OpenAlex ID: W2007949724
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DOI: 10.1016/J.CSDA.2013.09.019
description: scientific article; zbMATH DE number 6983974