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Markov models / Autoregressive conditional heteroskedasticity / Econometrics / Time series analysis / Computational statistics / Gamma distribution / Prior probability / Markov chain Monte Carlo / Estimation theory / Statistics / Probability and statistics / Bayesian statistics


C ONTRIBUTED R ESEARCH A RTICLES 41 Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations
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Document Date: 2010-12-30 17:20:09

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City

Berlin / London / Rotterdam / /

Company

Mathematical Systems / /

Country

Switzerland / Germany / Netherlands / United Kingdom / /

/

Facility

Hoogerheide Erasmus University / David Ardia University of Fribourg / Generalized ARCH / /

IndustryTerm

widespread and essential tools / empirical applications / computing / finance / time series software validation / /

Organization

Swiss National Science Foundation / /

Person

David Ardia / Martyn Plummer / /

Position

Teller / and E. Teller / editor / researcher / /

ProgrammingLanguage

REvolution / R / /

PublishedMedium

Journal of Applied Econometrics / Journal of Chemical Physics / Journal of the American Statistical Association / Journal of Econometrics / /

Technology

sampling algorithm / alpha / http / simulation / MCMC sampling algorithm / MH algorithm / /

URL

http /

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