A Bayesian Semiparametric Analysis of ARCH Models
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.
KeywordsConditional Variance American Statistical Association Markov Chain Monte Carlo Method Dirichlet Process Semiparametric Model
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