Summary
This paper provides a Bayesian analysis of a semiparametric autoregressive conditional heteroscedasticity (ARCH) model. We propose a semiparametric ARCH model using a Dirichlet process prior and show a Markov chain Monte Carlo method for the posterior inference. The model is estimated with a data set of monthly exchange rate for the Deutsche Mark to the U. S. Dollar.
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Kozumi, H., Polasek, W. (2000). A Bayesian Semiparametric Analysis of ARCH Models. In: Dockner, E.J., Hartl, R.F., Luptačik, M., Sorger, G. (eds) Optimization, Dynamics, and Economic Analysis. Physica, Heidelberg. https://doi.org/10.1007/978-3-642-57684-3_33
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DOI: https://doi.org/10.1007/978-3-642-57684-3_33
Publisher Name: Physica, Heidelberg
Print ISBN: 978-3-642-63327-0
Online ISBN: 978-3-642-57684-3
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