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Characteristic function-based inference for GARCH models with heavy-tailed innovations.
Violetta Dalla
Yannis Bassiakos
Simos G. Meintanis
Published in:
Commun. Stat. Simul. Comput. (2017)
Keyphrases
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garch model
heavy tailed
stock market
generalized gaussian
multivariate time series
bayesian networks
probabilistic model
bayesian inference
image processing
multiscale
pairwise
high dimensional
vector quantization
sar images
prior distribution