Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference.
Christian FrancqJean-Michel ZakoianPublished in: Comput. Stat. Data Anal. (2008)
Keyphrases
- statistical inference
- garch model
- graphical models
- stock market
- statistical learning
- model selection
- bayesian inference
- multivariate time series
- conditional independence
- heavy tailed
- sar images
- machine learning
- short term
- information extraction
- probabilistic model
- long term
- active learning
- prior knowledge
- learning algorithm