Bayesian analysis of power-transformed and threshold GARCH models : a Griddy-Gibbs sampler approach
Qiang Xia, Heung Wong, Jinshan Liu, Rubing Liang
| Year of publication: |
October 2017
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| Authors: | Xia, Qiang ; Wong, Heung ; Liu, Jinshan ; Liang, Rubing |
| Published in: |
Computational economics. - Dordrecht [u.a.] : Springer, ISSN 0927-7099, ZDB-ID 1142021-2. - Vol. 50.2017, 3, p. 353-372
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| Subject: | Bayesian inference | Griddy-Gibbs sampler | Power transformation | Threshold GARCH | Volatility forecasting | ARCH-Modell | ARCH model | Bayes-Statistik | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Theorie | Theory | Markov-Kette | Markov chain | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Monte-Carlo-Simulation | Monte Carlo simulation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-016-9588-x [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011783316