Estimation and properties of a time-varying EGARCH(1,1) in mean model
Sofia Anyfantaki and Antonis Demos (Department of International and European Economic Studies, Athens University of Economics and Business, Athens, Greece)
| 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
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| Subject: | Bayesian inference | Dynamic heteroskedasticity | Markov chain Monte Carlo | Simulated EM algorithm | Theorie | Theory | Monte-Carlo-Simulation | Monte Carlo simulation | Markov-Kette | Markov chain | Bayes-Statistik | ARCH-Modell | ARCH model | Simulation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07474938.2014.966639 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011549930