Cargando…
Bayesian nonlinear expectation for time series modelling and its application to Bitcoin
This paper proposes a two-stage approach to parametric nonlinear time series modelling in discrete time with the objective of incorporating uncertainty or misspecification in the conditional mean and volatility. At the first stage, a reference or approximating time series model is specified and esti...
| Autor principal: | |
|---|---|
| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Springer Berlin Heidelberg
2022
|
| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9130704/ https://www.ncbi.nlm.nih.gov/pubmed/35645455 http://dx.doi.org/10.1007/s00181-022-02255-z |