Comparative Analysis of Three GARCH Models Based on MCMC.
Yan GaoChengjun ZhangLiyan ZhangPublished in: ICICA (2) (2011)
Keyphrases
- comparative analysis
- garch model
- markov chain monte carlo
- stock market
- markov chain
- multivariate time series
- posterior distribution
- generative model
- bayesian inference
- heavy tailed
- sar images
- posterior probability
- semi quantitative
- particle filter
- image processing
- parameter estimation
- graphical models
- long term
- clustering algorithm