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~person:"Bauwens, Luc"
~person:"Herwartz, Helmut"
~source:"repec"
~subject:"Finite mixture distributions"
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Finite mixture distributions
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BAYESIAN CLUSTERING OF SIMILAR MULTIVARIATE
GARCH
MODELS
Bauwens, Luc
;
Rombouts, Jeroen
-
Econometric Society
-
2004
We consider the estimation of a large number of
GARCH
models, say of the order of several hundreds. Especially in the …
Persistent link: https://www.econbiz.de/10005328977
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