Granger-causal analysis of GARCH models : a Bayesian approach
Year of publication: |
2018
|
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Authors: | Woźniak, Tomasz |
Published in: |
Econometric reviews. - Philadelphia, Pa. : Taylor & Francis, ISSN 0731-1761, ZDB-ID 797463-2. - Vol. 37.2018, 1/5, p. 325-346
|
Subject: | Bayesian hypotheses assessment | second-order noncausality | VAR-GARCH models | Bayes-Statistik | Bayesian inference | ARCH-Modell | ARCH model | Theorie | Theory | Prognoseverfahren | Forecasting model |
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