GARCH dependence in extreme value models with Bayesian inference
Year of publication: |
2011
|
---|---|
Authors: | Zhao, Xin ; Scarrott, Carl John ; Oxley, Les ; Reale, Marco |
Published in: |
Mathematics and Computers in Simulation (MATCOM). - Elsevier, ISSN 0378-4754. - Vol. 81.2011, 7, p. 1430-1440
|
Publisher: |
Elsevier |
Subject: | Extreme values | Dependence | Bayesian inference | GARCH |
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