Bayesian estimation of generalized hyperbolic skewed student GARCH models
type: Item
instance of: scholarly article
title: Bayesian estimation of generalized hyperbolic skewed student GARCH models
zbMATH Open document ID: 1254.91577
author: Philippe J. Deschamps
published in: Computational Statistics and Data Analysis
publication date: 2012-12-30T00:00:00Z
full work available at URL: WP DQE 16.pdf
Mathematics Subject Classification ID: 91B82
Mathematics Subject Classification ID: 62D05
zbMATH DE Number: 6119737
zbMATH Keywords: autoregressive conditional heteroskedasticity
zbMATH Keywords: Markov chain Monte Carlo
zbMATH Keywords: bridge sampling
zbMATH Keywords: heavy-tailed skewed distributions
zbMATH Keywords: generalized hyperbolic distribution
zbMATH Keywords: generalized inverse Gaussian distribution
describes a project that uses: tsbridge
MaRDI profile type: Publication
OpenAlex ID: W2028016390
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DOI: 10.1016/J.CSDA.2011.10.021
description: scientific article; zbMATH DE number 6119737