ANDRADE, MARINHO G.; OLIVEIRA, SANDRA C. - In: New Mathematics and Natural Computation (NMNC) 07 (2011) 02, pp. 347-361
The purpose of this study is to address the inference problem of the parameters of autoregressive conditional 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...