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Bayesian Semiparametric Double Autoregressive Modeling

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  • Min Wang
  • Ji-Chun Liu

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.

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  • Min Wang & Ji-Chun Liu, 2019. "Bayesian Semiparametric Double Autoregressive Modeling," Mathematical Problems in Engineering, Hindawi, vol. 2019, pages 1-9, July.
    • Handle: RePEc:hin:jnlmpe:4267532
    DOI: 10.1155/2019/4267532
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