Title of article
Modelling nonlinearities and heavy tails via threshold normal mixture GARCH models
Author/Authors
D. Giannikis، نويسنده , , I.D. Vrontos، نويسنده , , P. Dellaportas، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2008
Pages
23
From page
1549
To page
1571
Keywords
Autoregressive conditional heteroscedasticity , Bayesian inference , Markov chain Monte Carlo , Stochastic Search , value at risk
Journal title
Computational Statistics and Data Analysis
Serial Year
2008
Journal title
Computational Statistics and Data Analysis
Record number
308369
Link To Document