Estimation and properties of a time-varying EGARCH(1,1) in mean model
Year of publication: |
2016
|
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Authors: | Anyfantaki, Sofia ; Dēmos, Antōnēs A. |
Published in: |
Econometric reviews. - Philadelphia, Pa. : Taylor & Francis, ISSN 0731-1761, ZDB-ID 797463-2. - Vol. 35.2016, 1/4, p. 293-310
|
Subject: | Bayesian inference | Dynamic heteroskedasticity | Markov chain Monte Carlo | Simulated EM algorithm | Markov-Kette | Markov chain | Monte-Carlo-Simulation | Monte Carlo simulation | Bayes-Statistik | Schätzung | Estimation | ARCH-Modell | ARCH model | Simulation | Schätztheorie | Estimation theory |
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