Bayesian estimation of ARMA-GARCH model of weekly foreign exchange rates

Asia-Pacific Financial Markets

Volumn 6, Issue 1, 1999, Pages 71-84

  Nakatsuma, Teruo ^a   Tsurumi, Hiroki ^b  

^a HITOTSUBASHI UNIVERSITY   (Japan)

^b RUTGERS UNIVERSITY   (United States)

Author keywords

Bayesian inference; Foreign exchange rate; GARCH

Indexed keywords

EID: 22544462777     PISSN: 13872834     EISSN: None     Source Type: Journal    
DOI: 10.1023/A:1010058509622     Document Type: Conference Paper

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