A Bayesian Model Selection of Threshold AR-GARCH Models Using the Reversible Jump MCMC Approach
碩士 === 中原大學 === 應用數學研究所 === 97 === In the last two decades, the volatility of the financial derivatives has been extremely large. One of the models that can capture the leptokurtosis and the volatility clustering phenomenon commonly seen in financial data is the Generalized Autoregressive Conditiona...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2009
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/38273257539894184716 |