Hierarchical Markov normal mixture models with applications to financial asset returns
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- John Geweke & Gianni Amisano, 2007. "Hierarchical Markov Normal Mixture Models with Applications to Financial Asset Returns," Working Papers 0705, University of Brescia, Department of Economics.
- Amisano, Gianni & Geweke, John, 2007. "Hierarchical Markov normal mixture models with applications to financial asset returns," Working Paper Series 831, European Central Bank.
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More about this item
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
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