Bayesian inference of smooth transition autoregressive (STAR)\((k)\)-GARCH\((l, m)\) models
type: Item
instance of: scholarly article
title: Bayesian inference of smooth transition autoregressive (STAR)\((k)\)-GARCH\((l, m)\) models
zbMATH Open document ID: 1461.62156
author: Glen jun. Livingston
author: D. Nur
published in: Statistical Papers
publication date: 2021-06-03T00:00:00Z
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62-08
Mathematics Subject Classification ID: 65C40
zbMATH DE Number: 7354459
zbMATH Keywords: generalised ARCH (GARCH)
zbMATH Keywords: Gibbs sampler algorithm
zbMATH Keywords: Metropolis-Hastings algorithm
zbMATH Keywords: nonlinear time series models
zbMATH Keywords: regime switching volatility
zbMATH Keywords: reversible jump MCMC algorithm
describes a project that uses: R
MaRDI profile type: Publication
full work available at URL: s00362-018-1056-3
OpenAlex ID: W2899915804
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Wikidata QID: Q128993427
DOI: 10.1007/S00362-018-1056-3
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description: scientific article; zbMATH DE number 7354459