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- W2392225818 abstract "According to the complexity of economic time series volatility and its uncertainty,a quantile Markovswitching ARCH model was proposed.Under the framework of Bayesian theory,proper Jeffery's prior distribution and likelihood function based on asymmetric Laplace distribution were employed,and Bayesian inference on MSARCH model was carried out.The simulation result shows that the quantile MS-ARCH models is effective to capture the structural change of economic time series with heteroscedasticy." @default.
- W2392225818 created "2016-06-24" @default.
- W2392225818 creator A5056546535 @default.
- W2392225818 date "2014-01-01" @default.
- W2392225818 modified "2023-09-25" @default.
- W2392225818 title "Bayesian Analysis of Quantile Markov-switching ARCH Models based on MCMC Algorithm" @default.
- W2392225818 hasPublicationYear "2014" @default.
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