Funder
Natural Sciences and Engineering Research Council of Canada
Society of Actuaries
Subject
Applied Mathematics,Computational Theory and Mathematics,Computational Mathematics,Statistics and Probability
Reference52 articles.
1. Bauwens, L., Dufays, A., Rombouts, J.V., 2011. Marginal likelihood for Markov-switching and change-point GARCH models. CORE Discussion Papers 2011013. Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
2. Multivariate mixed normal conditional heteroskedasticity;Bauwens;Computational Statistics & Data Analysis,2007
3. Theory and inference for a Markov switching GARCH model;Bauwens;The Econometrics Journal,2010
4. Generalized autoregressive conditional heteroskedasticity;Bollerslev;Journal of Econometrics,1986
5. Ascent-based Monte Carlo expectation–maximization;Caffo;Journal of the Royal Statistical Society. Series B. Statistical Methodology,2005
Cited by
41 articles.
订阅此论文施引文献
订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献