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Dynamic Bayesian Inference in GARCH Processes with Skewed-t and Stable Conditional Distributions
(Wydawnictwo Uniwersytetu Łódzkiego, 2005)
In AR(1)-GARCH(1, 1) framework for daily returns, proposed and adopted by
Bauwens and Lubrano (1997), Bauwens et al. (1999), Osiewalski and Pipień (2003), we
considered two types of conditional distribution. In the first ...