Listar GI-MODES - Artigos por autor "Galeano, Pedro"
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Bayesian estimation of the Gaussian mixture GARCH model
Ausín, M. Concepción; Galeano, Pedro (Elsevier, 2007)Bayesian inference and prediction for a generalized autoregressive conditional heteroskedastic (GARCH) model where the innovations are assumed to follow a mixture of two Gaussian distributions is performed. The mixture ...