Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: The effects of degrees of freedom estimation in the Asymmetric GARCH
  model with Student-t Innovations   This work investigates the effects of using the independent Jeffreys prior
for the degrees of freedom parameter of a Student-t model in the asymmetric
generalised autoregressive conditional heteroskedasticity (GARCH) model. To
capture asymmetry in the reaction to past shocks, smooth transition models are
assumed for the variance. We adopt the fully Bayesian approach for inference,
prediction and model selection We discuss problems related to the estimation of
degrees of freedom in the Student-t model and propose a solution based on
independent Jeffreys priors which correct problems in the likelihood function.
A simulated study is presented to investigate how the estimation of model
parameters in the Student-t GARCH model are affected by small sample sizes,
prior distributions and misspecification regarding the sampling distribution.
An application to the Dow Jones stock market data illustrates the usefulness of
the asymmetric GARCH model with Student-t errors.

20
The categories of this paper are: acc-phys
32
The categories of this paper are: atom-ph
5
The categories of this paper are: gr-qc
34
The categories of this paper are: chem-ph
24
The categories of this paper are: dg-ga
13
The categories of this paper are: quant-ph
36
The categories of this paper are: cmp-lg
3
The categories of this paper are: physics
21
The categories of this paper are: adap-org
9
The categories of this paper are: nlin
1
The categories of this paper are: cs
27
The categories of this paper are: comp-gas
33
The categories of this paper are: plasm-ph
31
The categories of this paper are: ao-sci
11
The categories of this paper are: hep-lat
6
The categories of this paper are: astro-ph