Efficient Gibbs sampling for Markov switching GARCH models (Q1659098): Difference between revisions

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+ON THE STATIONARITY OF MARKOV-SWITCHING GARCH PROCESSES
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+Financial risk management with Bayesian estimation of GARCH models. Theory and applica\-tions.
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+Marginal likelihood for Markov-switching and change-point GARCH models
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+Theory and inference for a Markov switching GARCH model
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+Bayesian computation and stochastic systems. With comments and reply.
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+Bayesian estimation of switching ARMA models
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+Antithetic sampling for sequential Monte Carlo methods with application to state-space models
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+Generalized autoregressive conditional heteroscedasticity
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+On Gibbs sampling for state space models
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+Interacting multiple try algorithms with different proposal distributions
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+Calculating posterior distributions and modal estimates in Markov mixture models
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+Multiprocess parallel antithetic coupling for backward and forward Markov chain Monte Carlo
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+The simulation smoother for time series models
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+Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference
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+DATA AUGMENTATION AND DYNAMIC LINEAR MODELS
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+Finite mixture and Markov switching models.
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+Autoregressive conditional heteroskedasticity and changes in regime
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+Monte Carlo sampling methods using Markov chains and their applications
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+Real time detection of structural breaks in GARCH models
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+Markov chain Monte Carlo methods and the label switching problem in Bayesian mixture modeling
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+Bayesian analysis of switching ARCH models
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+Fast Filtering and Smoothing for Multivariate State Space Models
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+The Multiple-Try Method and Local Optimization in Metropolis Sampling
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+Covariance structure of the Gibbs sampler with applications to the comparisons of estimators and augmentation schemes
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+Forecasting Stock Market Volatility with Regime-Switching GARCH Models
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+Equation of State Calculations by Fast Computing Machines
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+Q4348929
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+Q4363938
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+Asymptotic Inference for Mixture Models by Using Data-Dependent Priors
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