Bayesian Semiparametric Double Autoregressive Modeling

Min Wang and Ji-Chun Liu

Mathematical Problems in Engineering, 2019, vol. 2019, 1-9

Abstract:

This paper proposes a Bayesian semiparametric modeling approach for the return distribution in double autoregressive models. Monte Carlo investigation of finite sample properties and an empirical application are presented. The results indicate that the semiparametric model developed in this paper is valuable and competitive.

Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlmpe:4267532

DOI: 10.1155/2019/4267532

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