Bayesian analysis of periodic asymmetric power GARCH models
Year of publication: |
2020
|
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Authors: | Aknouche, Abdelhakim ; Demmouche, Nacer ; Dimitrakopoulos, Stefanos ; Touche, Nassim |
Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 24.2020, 4, p. 1-24
|
Subject: | Bayesian forecasting | Deviance Information Criterion | Griddy-Gibbs | periodic asymmetric power GARCH model | probability properties | Value at Risk | ARCH-Modell | ARCH model | Bayes-Statistik | Bayesian inference | Prognoseverfahren | Forecasting model | Theorie | Theory | Volatilität | Volatility | Risikomaß | Risk measure |
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