Bayesian Estimation of Unknown Heteroscedastic Variances
Year of publication: |
2006-09
|
---|---|
Authors: | Chigira, Hiroaki ; Shiba, Tsunemasa |
Institutions: | Institute of Economic Research, Hitotsubashi University |
Subject: | Eicker-White HCCM | orthogonal regressors | conditional Bayesian | MCMC | stock return variance estimation |
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