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Bayesian analysis of the unobserved ARCH model |
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| Authors: | Stefanos G. Giakoumatos Petros Dellaportas Dimitris N. Politis |
| Affiliation: | (1) Department of Statistics, Athens University of Economics and Business, Patission 76, 10434 Athens, Greece;(2) Department of Mathematics, University of California at San Diego, La Jolla, CA 92093-0112, USA |
| Abstract: | |
| Keywords: | auxiliary variables ARCH components Markov chain Monte Carlo GARCH |
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