Browsing by Subject "Auxiliary variables"

Now showing items 1-1 of 1

    • Article  

      Bayesian analysis of the unobserved ARCH model 

      Giakoumatos, Stefanos G.; Dellaportas, Petros; Politis, Dimitris Nicolas (2005)
      The Unobserved ARCH model is a good description of the phenomenon of changing volatility that is commonly appeared in the financial time series. We study this model adopting Bayesian inference via Markov Chain Monte Carlo ...