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Volumn 20 PART 2, Issue , 2006, Pages 277-296

Bayesian Inference on Mixture-of-Experts for Estimation of Stochastic Volatility

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EID: 33645864062     PISSN: 07319053     EISSN: None     Source Type: Book Series    
DOI: 10.1016/S0731-9053(05)20030-0     Document Type: Review
Times cited : (4)

References (16)
  • 1
    • 42449156579 scopus 로고
    • Generalized autoregressive conditional heteroskedasticity
    • Bollerslev T. Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics 31 (1986) 307-327
    • (1986) Journal of Econometrics , vol.31 , pp. 307-327
    • Bollerslev, T.1
  • 2
    • 0000051984 scopus 로고
    • Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation
    • Engle R.F. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica 50 (1982) 987-1007
    • (1982) Econometrica , vol.50 , pp. 987-1007
    • Engle, R.F.1
  • 5
    • 0346968370 scopus 로고    scopus 로고
    • Time series modeling via hierarchical mixtures
    • Huerta G., Jiang W., and Tanner M.A. Time series modeling via hierarchical mixtures. Statistica Sinica 13 (2003) 1097-1118
    • (2003) Statistica Sinica , vol.13 , pp. 1097-1118
    • Huerta, G.1    Jiang, W.2    Tanner, M.A.3
  • 7
    • 0000262562 scopus 로고
    • Hierarchical mixture of experts and the EM algorithm
    • Jordan M., and Jacobs R. Hierarchical mixture of experts and the EM algorithm. Neural Computation 6 (1994) 181-214
    • (1994) Neural Computation , vol.6 , pp. 181-214
    • Jordan, M.1    Jacobs, R.2
  • 8
    • 0005618944 scopus 로고
    • Pricing foreign currency options with stochastic volatility
    • Melino A., and Turnbull S.M. Pricing foreign currency options with stochastic volatility. Journal of Econometric 45 (1990) 239-265
    • (1990) Journal of Econometric , vol.45 , pp. 239-265
    • Melino, A.1    Turnbull, S.M.2
  • 9
    • 0000641348 scopus 로고
    • Conditional heteroskedasticity in asset returns
    • Nelson D.B. Conditional heteroskedasticity in asset returns. Econometrica 59 (1991) 347-370
    • (1991) Econometrica , vol.59 , pp. 347-370
    • Nelson, D.B.1
  • 10
    • 0030327271 scopus 로고    scopus 로고
    • Bayesian inference in mixtures-of-experts and hierarchical mixtures-of-experts models with an application to speech recognition
    • Peng F., Jacobs R.A., and Tanner M.A. Bayesian inference in mixtures-of-experts and hierarchical mixtures-of-experts models with an application to speech recognition. Journal of the American Statistical Association 91 (1996) 953-960
    • (1996) Journal of the American Statistical Association , vol.91 , pp. 953-960
    • Peng, F.1    Jacobs, R.A.2    Tanner, M.A.3
  • 14
    • 33645880257 scopus 로고    scopus 로고
    • Villagran, A. (2003). Modelos Mezcla para Volatilidad. Unpublished MSc. thesis, Universidad de Guanajuato, Mexico.


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.