Bayesian Estimation of Change-Point in Unobserved-ARCH Models
نویسنده
چکیده
Change-point problem deals with sudden change in the distribution of a set of given data. Change in financial time series is a common event, because many factors for example some news, etc. may affect the series and cause change. In this work, we intend to detect the time of change-point, using Bayesian methods in Unobserved-ARCH models. We estimate the model and the time of the change-point.
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