Bayesian Analysis of a Triple-Threshold GARCH Model with Application in Chinese Stock Market
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More about this item
KeywordsThreshold; Griddy-Gibbs sampling; MCMC method; GARCH;
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
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