most citedvarstan: An R package for Bayesian analysis of structured time series models with Stan

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stat.AP2019

The effects of degrees of freedom estimation in the Asymmetric GARCH model with Student-t Innovations

T. C. O. Fonseca, V. S. Cerqueira, H. S. Migon +1

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 co…