Bayesian estimation of the Gaussian mixture GARCH model

Computational Statistics and Data Analysis

Volumn 51, Issue 5, 2007, Pages 2636-2652

  Ausín, María Concepción ^a   Galeano, Pedro ^b  

^a UNIVERSITY OF A CORUÑA   (Spain)

^b UNIVERSITY OF SANTIAGO DE COMPOSTELA   (Spain)

Author keywords

Bayesian inference; GARCH models; Griddy Gibbs sampler; Mixtures models; Value at Risk

Indexed keywords

DATA REDUCTION; MATHEMATICAL MODELS; RANDOM PROCESSES; TIME SERIES ANALYSIS;

BAYESIAN INFERENCE; GARCH MODELS; GRIDDY-GIBBS SAMPLER; MIXTURES MODELS; VALUE AT RISK;

PROBABILITY DISTRIBUTIONS;

EID: 33750985047     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2006.01.006     Document Type: Article

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