Bayesian estimation of the Gaussian mixture GARCH model

DOI10.1016/J.CSDA.2006.01.006zbMath1161.62397OpenAlexW1966908276MaRDI QIDQ1019890

Pedro Galeano, María Concepción Ausín

Publication date: 29 May 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2006.01.006

zbMATH Keywords

value at riskmixtures modelsGriddy-Gibbs sampler

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15)

Related Items (23)

Bayesian option pricing using mixed normal heteroskedasticity models ⋮ Setting the margins of hang seng index futures on different positions using an APARCH-GPD model based on extreme value theory ⋮ Inference for Box-Cox Transformed Threshold GARCH Models with Nuisance Parameters ⋮ Bayesian case influence analysis for GARCH models based on Kullback-Leibler divergence ⋮ A Bayesian non-parametric approach to asymmetric dynamic conditional correlation model with application to portfolio selection ⋮ On mixture periodic Integer-Valued ARCH models ⋮ A comparative study of Monte Carlo methods for efficient evaluation of marginal likelihood ⋮ Bayesian inference for a mixture double autoregressive model ⋮ Partially censored posterior for robust and efficient risk evaluation ⋮ Convergence of Griddy Gibbs sampling and other perturbed Markov chains ⋮ Time-varying joint distribution through copulas ⋮ Bayesian analysis of heavy-tailed market microstructure model and its application in stock markets ⋮ Importance sampling from posterior distributions using copula-like approximations ⋮ Value-at-risk forecasting based on Gaussian mixture ARMA–GARCH model ⋮ Stable mixture GARCH models ⋮ Asymmetric multivariate normal mixture GARCH ⋮ NM-QELE for ARMA-GARCH models with non-Gaussian innovations ⋮ A semiparametric Bayesian approach to the analysis of financial time series with applications to value at risk estimation ⋮ Misspecification and Domain Issues in Fitting Garch(1, 1) Models: A Monte Carlo Investigation ⋮ A new algorithm for maximum likelihood estimation in normal scale-mixture generalized autoregressive conditional heteroskedastic models ⋮ A quantile function approach to the distribution of financial returns following TGARCH models ⋮ Mixture periodic autoregressive conditional heteroskedastic models ⋮ On MCMC sampling in self-exciting integer-valued threshold time series models

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Comparing stochastic volatility models through Monte Carlo simulations
• ARCH modeling in finance. A review of the theory and empirical evidence
• Kurtosis of GARCH and stochastic volatility models with non-normal innovations
• Generalized autoregressive conditional heteroscedasticity
• Markov chains for exploring posterior distributions. (With discussion)
• Bayesian analysis of ARMA-GARCH models: a Markov chain sampling approach
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Rao-Blackwellisation of sampling schemes
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Comparing probabilistic methods for outlier detection in linear models
• On a Mixture Autoregressive Conditional Heteroscedastic Model
• A Bayesian approach to some outlier problems
• Bayesian inference on GARCH models using the Gibbs sampler

This page was built for publication: Bayesian estimation of the Gaussian mixture GARCH model