Bayesian Semiparametric Double Autoregressive Modeling
Joint Authors
Source
Mathematical Problems in Engineering
Issue
Vol. 2019, Issue 2019 (31 Dec. 2019), pp.1-9, 9 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2019-07-15
Country of Publication
Egypt
No. of Pages
9
Main Subjects
Abstract EN
This paper proposes a Bayesian semiparametric modeling approach for the return distribution in double autoregressive models.
Monte Carlo investigation of finite sample properties and an empirical application are presented.
The results indicate that the semiparametric model developed in this paper is valuable and competitive.
American Psychological Association (APA)
Wang, Min& Liu, Ji-Chun. 2019. Bayesian Semiparametric Double Autoregressive Modeling. Mathematical Problems in Engineering،Vol. 2019, no. 2019, pp.1-9.
https://search.emarefa.net/detail/BIM-1195562
Modern Language Association (MLA)
Wang, Min& Liu, Ji-Chun. Bayesian Semiparametric Double Autoregressive Modeling. Mathematical Problems in Engineering No. 2019 (2019), pp.1-9.
https://search.emarefa.net/detail/BIM-1195562
American Medical Association (AMA)
Wang, Min& Liu, Ji-Chun. Bayesian Semiparametric Double Autoregressive Modeling. Mathematical Problems in Engineering. 2019. Vol. 2019, no. 2019, pp.1-9.
https://search.emarefa.net/detail/BIM-1195562
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1195562
