Computational tools for comparing asymmetric GARCH models via Bayes factors (Q419441): Difference between revisions

@@ Property / DOI @@
-.1016/j.matcom.2011.12.005
@@ Property / DOI: 10.1016/j.matcom.2011.12.005 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+M10
@@ Property / Mathematics Subject Classification ID: 62M10 / rank @@
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+F15
@@ Property / Mathematics Subject Classification ID: 62F15 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+C40
@@ Property / Mathematics Subject Classification ID: 65C40 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+C05
@@ Property / Mathematics Subject Classification ID: 65C05 / rank @@
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@@ Property / zbMATH DE Number @@
+6036533
@@ Property / zbMATH DE Number: 6036533 / rank @@
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@@ Property / zbMATH Keywords @@
+Markov chain Monte Carlo
@@ Property / zbMATH Keywords: Markov chain Monte Carlo / rank @@
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@@ Property / zbMATH Keywords @@
+Metropolis-Hastings
@@ Property / zbMATH Keywords: Metropolis-Hastings / rank @@
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@@ Property / zbMATH Keywords @@
+marginal likelihood
@@ Property / zbMATH Keywords: marginal likelihood / rank @@
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@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.matcom.2011.12.005
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@@ Property / OpenAlex ID @@
+W1997064882
@@ Property / OpenAlex ID: W1997064882 / rank @@
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@@ Property / cites work @@
+Q3703094
@@ Property / cites work: Q3703094 / rank @@
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@@ Property / cites work @@
+Distributions Generated by Perturbation of Symmetry with Emphasis on a Multivariate Skew<i>t</i>-Distribution
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@@ Property / cites work @@
+Bayesian inference on GARCH models using the Gibbs sampler
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@@ Property / cites work @@
+Misspecification and Domain Issues in Fitting Garch(1, 1) Models: A Monte Carlo Investigation
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@@ Property / cites work @@
+Generalized autoregressive conditional heteroscedasticity
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@@ Property / cites work @@
+ARCH modeling in finance. A review of the theory and empirical evidence
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@@ Property / cites work @@
+MCMC Bayesian Estimation of a Skew-GED Stochastic Volatility Model
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@@ Property / cites work @@
+Monte Carlo methods in Bayesian computation
@@ Property / cites work: Monte Carlo methods in Bayesian computation / rank @@
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@@ Property / cites work @@
+Computing marginal likelihoods from a single MCMC output
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@@ Property / cites work @@
+Marginal Likelihood From the Metropolis–Hastings Output
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@@ Property / cites work @@
+Accept–reject Metropolis–Hastings sampling and marginal likelihood estimation
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@@ Property / cites work @@
+Q2712594
@@ Property / cites work: Q2712594 / rank @@
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@@ Property / cites work @@
+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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@@ Property / cites work @@
+On Bayesian Modeling of Fat Tails and Skewness
@@ Property / cites work: On Bayesian Modeling of Fat Tails and Skewness / rank @@
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@@ Property / cites work @@
+Marginal Likelihood Estimation via Power Posteriors
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@@ Property / cites work @@
+A Skew Extension of the <i>T</i>-Distribution, with Applications
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@@ Property / cites work @@
+Bayes Factors
@@ Property / cites work: Bayes Factors / rank @@
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@@ Property / cites work @@
+Bayesian analysis of ARMA-GARCH models: a Markov chain sampling approach
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@@ Property / cites work @@
+Conditional Heteroskedasticity in Asset Returns: A New Approach
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@@ Property / cites work @@
+Bayesian comparison of bivariate ARCH-type models for the main exchange rates in Poland
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@@ Property / DOI @@
+.1016/J.MATCOM.2011.12.005
@@ Property / DOI: 10.1016/J.MATCOM.2011.12.005 / rank @@
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@@ links / mardi / name / links / mardi / name @@
+Publication:419441