A Bayesian Model Selection of AR-GARCH Models Using the Reversible Jump MCMC Approach
碩士 === 中原大學 === 應用數學研究所 === 97 === The time series models have important applications in financial analysis. However, their likelihood functions are usually not available in the explicit form. Generalized AutoRegressive Conditional Heteroskedasticity (GARCH) models capture certain characteristics co...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2009
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| Online Access: | http://ndltd.ncl.edu.tw/handle/37383022721285419000 |