Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with student-t innovations
David Ardia
| Year of publication: |
2009
|
|---|---|
| Authors: | Ardia, David |
| Published in: |
The econometrics journal. - Oxford : Oxford University Press, ISSN 1368-4221, ZDB-ID 1412265-0. - Vol. 12.2009, 1, p. 105-126
|
| Subject: | ARCH-Modell | ARCH model | Bayes-Statistik | Bayesian inference | Markov-Kette | Markov chain | Schätzung | Estimation | Innovation | Theorie | Theory | Börsenkurs | Share price |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003841976