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Bayesian estimation of smoothly mixing time-varying parameter GARCH models.

Cathy W. S. ChenRichard GerlachEdward M. H. Lin
Published in: Comput. Stat. Data Anal. (2014)
Keyphrases
  • bayesian estimation
  • garch model
  • posterior distribution
  • stock market
  • parameter space
  • image processing
  • prior knowledge
  • high resolution