Efficient Bayesian Estimation and Combination of GARCH-Type Models
Year of publication: |
2010
|
---|---|
Authors: | Ardia, David ; Hoogerheide, Lennart F. |
Publisher: |
Amsterdam and Rotterdam : Tinbergen Institute |
Subject: | ARCH-Modell | Bayes-Statistik | Statistische Verteilung | Statistisches Auswahlverfahren | Theorie | GARCH | marginal likelihood | Bayesian model averaging | adaptive mixture of Student-t distributions | importance sampling |
Series: | Tinbergen Institute Discussion Paper ; 10-046/4 |
---|---|
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 839454341 [GVK] hdl:10419/86670 [Handle] RePEc:dgr:uvatin:20100046 [RePEc] |
Classification: | C11 - Bayesian Analysis ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C22 - Time-Series Models |
Source: |
-
Efficient Bayesian estimation and combination of GARCH-type models
Ardia, David, (2010)
-
Efficient Bayesian Estimation and Combination of GARCH-Type Models
Ardia, David, (2010)
-
Efficient Bayesian estimation and combination of GARCH-type models
Ardia, David, (2010)
- More ...
-
Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations
Ardia, David, (2010)
-
Ardia, David, (2008)
-
Ardia, David, (2014)
- More ...