Bayesian semiparametric GARCH models
Year of publication: |
2011-11-03
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Authors: | Zhang, Xibin ; King, Maxwell L. |
Institutions: | Department of Econometrics and Business Statistics, Monash Business School |
Subject: | Bayes factors | kernel-form error density | localized bandwidths | Markov chain Monte Carlo | value-at-risk |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Number 24/11 38 pages |
Classification: | C11 - Bayesian Analysis ; C14 - Semiparametric and Nonparametric Methods ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; G15 - International Financial Markets |
Source: |
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