✦ LIBER ✦

Bayesian analysis of switching ARCH models

✍ Scribed by SYLVIA KAUFMANN; SYLVIA FRÜHWIRTH-SCHNATTER

Book ID: 108549499
Publisher: John Wiley and Sons
Year: 2002
Tongue: English
Weight: 959 KB
Volume: 23
Category: Article
ISSN: 0143-9782
DOI: 10.1111/1467-9892.00271

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Bayesian analysis of the unobserved ARCH

Bayesian analysis of the unobserved ARCH model

✍ Stefanos G. Giakoumatos; Petros Dellaportas; Dimitris N. Politis 📂 Article 📅 2005 🏛 Springer US 🌐 English ⚖ 767 KB

A Bayesian analysis of a switching linea

A Bayesian analysis of a switching linear model

✍ Donald Holbert 📂 Article 📅 1982 🏛 Elsevier Science 🌐 English ⚖ 544 KB

Bayesian analysis of a Markov switching

Bayesian analysis of a Markov switching temporal cointegration model

✍ Katsuhiro Sugita 📂 Article 📅 2008 🏛 Elsevier Science 🌐 English ⚖ 297 KB

Bayesian inference for periodic regime-s

Bayesian inference for periodic regime-switching models

✍ Eric Ghysels; Robert E. McCulloch; Ruey S. Tsay 📂 Article 📅 1998 🏛 John Wiley and Sons 🌐 English ⚖ 214 KB 👁 2 views

We present a general class of nonlinear time-series Markov regime-switching models for seasonal data which may exhibit periodic features in the hidden Markov process as well as in the laws of motion in each of the regimes. This class of models allows for non-trivial dependencies between seasonal, cy

Exact Bayesian Prediction in a Class of

Exact Bayesian Prediction in a Class of Markov-switching Models

✍ Noémie Bardel; François Desbouvries 📂 Article 📅 2010 🏛 Springer US 🌐 English ⚖ 329 KB

BAYESIAN ANALYSIS OF AGGREGATE LOSS MODE

BAYESIAN ANALYSIS OF AGGREGATE LOSS MODELS

✍ M. C. Ausín; J. M. Vilar; R. Cao; C. González-Fragueiro 📂 Article 📅 2010 🏛 John Wiley and Sons 🌐 English ⚖ 346 KB