Bayesian Statistical Computations of Nonlinear Financial Time Series Models: A Survey with Illustrations |
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| Authors: | Hiroki Tsurumi |
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| Institution: | (1) Rutgers University, New Brunswick, NJ, 08901-1248, U.S.A. |
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| Abstract: | A survey of Bayesian statistical computations of quadratureformula, Laplace approximation, and Markov Chain Monte Carlo algorithms ispresentedand their applications to nonlinear financial time series models arediscussed. |
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| Keywords: | quadrature formula Laplace approximation MCMC GARCH stochastic volatility |
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