Modelling nonlinearities and heavy tails via threshold normal mixture GARCH models (Q1023483): Difference between revisions

@@ Property / cites work @@
+Tree-structured Generalized Autoregressive Conditional Heteroscedastic Models
+Normal rank
@@ Property / cites work @@
+Kurtosis of GARCH and stochastic volatility models with non-normal innovations
+Normal rank
@@ Property / cites work @@
+Bayesian inference on GARCH models using the Gibbs sampler
+Normal rank
@@ Property / cites work @@
+Generalized autoregressive conditional heteroscedasticity
+Normal rank
@@ Property / cites work @@
+Markov chain Monte Carlo model determination for hierarchical and graphical log-linear models
+Normal rank
@@ Property / cites work @@
+Modelling volatility asymmetries: a Bayesian analysis of a class of tree structured multivariate GARCH models
+Normal rank
@@ Property / cites work @@
+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
+Normal rank
@@ Property / cites work @@
+Accurate value-at-risk forecasting based on the normal-GARCH model
+Normal rank
@@ Property / cites work @@
+Bayes Factors
@@ Property / cites work: Bayes Factors / rank @@
+Normal rank
@@ Property / cites work @@
+A Reference Bayesian Test for Nested Hypotheses and its Relationship to the Schwarz Criterion
+Normal rank
@@ Property / cites work @@
+Bayes factors and nonlinearity: Evidence from economic time series
+Normal rank
@@ Property / cites work @@
+Modeling Flat Stretches, Bursts, and Outliers in Time Series Using Mixture Transition Distribution Models
+Normal rank
@@ Property / cites work @@
+A comparison of Bayesian model selection based on MCMC with an application to GARCH-type models
+Normal rank
@@ Property / cites work @@
+Conditional Heteroskedasticity in Asset Returns: A New Approach
+Normal rank
@@ Property / cites work @@
+Bayesian Model Averaging for Linear Regression Models
+Normal rank
@@ Property / cites work @@
+Markov chains for exploring posterior distributions. (With discussion)
+Normal rank
@@ Property / cites work @@
+Q3999154
@@ Property / cites work: Q3999154 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3928091
@@ Property / cites work: Q3928091 / rank @@
+Normal rank
@@ Property / cites work @@
+A full-factor multivariate GARCH model
@@ Property / cites work: A full-factor multivariate GARCH model / rank @@
+Normal rank
@@ Property / cites work @@
+On a Mixture Autoregressive Model
@@ Property / cites work: On a Mixture Autoregressive Model / rank @@
+Normal rank
@@ Property / cites work @@
+On a Mixture Autoregressive Conditional Heteroscedastic Model
+Normal rank
@@ Property / cites work @@
+A class of nonlinear stochastic volatility models and its implications for pricing currency options
+Normal rank