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Bayesian Estimation of the GARCH(1, 1) Model with Student-t Innovations.

David ArdiaLennart F. Hoogerheide
Published in: R J. (2010)
Keyphrases
  • bayesian estimation
  • garch model
  • stock market
  • posterior distribution
  • multivariate time series
  • support vector
  • sar images
  • heavy tailed