Bayesian Inference and Quantile Forecasting for Jump GARCH Models
碩士 === 逢甲大學 === 統計與精算所 === 100 === In this thesis, inference, quantile forecasting, and model comparison for a jump GARCH model is investigated, where jump arrivals are time inhomogeneous and state-dependent. The Bayesian inference of jump GARCH via MCMC methods is employed to obtain better estimate...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2012
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| Online Access: | http://ndltd.ncl.edu.tw/handle/32303621188147063654 |