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- W3122734306 abstract "We consider the estimation of a large number of GARCH models, of the order of several hundreds. To achieve parsimony, we classify the series in a small number of groups. Within a cluster, the series share the same model and the same parameters. Each cluster contains therefore similar series. We do not know a priori which series belongs to which cluster. The model is a finite mixture of distributions, where the component weights are unknown parameters and each component distribution has its own conditional mean and variance. Inference is done by the Bayesian approach, using data augmentation techniques. Illustrations are provided." @default.
- W3122734306 created "2021-02-01" @default.
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- W3122734306 date "2003-12-01" @default.
- W3122734306 modified "2023-10-16" @default.
- W3122734306 title "Bayesian clustering of many GARCH models" @default.
- W3122734306 hasPublicationYear "2003" @default.
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