ANDRADE, MARINHO G.; OLIVEIRA, SANDRA C. - In: New Mathematics and Natural Computation (NMNC) 07 (2011) 02, pp. 347-361
heteroscedasticity (ARCH) models. Specifically, we present a comparison of the two approaches — Bayesian and Maximum Likelihood (ML) for … ARCH models, and the specific mathematical and algorithmic formulations of these approaches. In the ML, estimation we …