Bayesian inference for mixed Gaussian GARCH-type model by Hamiltonian Monte Carlo algorithm
Rubing Liang, Binbin Qin, Qiang Xia
| Year of publication: |
2024
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|---|---|
| Authors: | Liang, Rubing ; Qin, Binbin ; Xia, Qiang |
| Published in: |
Computational economics. - Dordrecht [u.a.] : Springer Science + Business Media B.V., ISSN 1572-9974, ZDB-ID 1477445-8. - Vol. 63.2024, 1, p. 193-220
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| Subject: | Baysesian inference | Forecasting | GARCH-type models | HMC algorithm | Mixed Gaussian | Theorie | Theory | Bayes-Statistik | Bayesian inference | Monte-Carlo-Simulation | Monte Carlo simulation | Statistische Verteilung | Statistical distribution | Prognoseverfahren | Forecasting model | Stochastischer Prozess | Stochastic process |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-022-10337-4 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014472071