Theory and inference for a Markov switching GARCH model

DOI10.1111/j.1368-423X.2009.00307.xzbMath1230.62115OpenAlexW3204741519MaRDI QIDQ3004023

Arie Preminger, Luc Bauwens, Jeroen V. K. Rombouts

Publication date: 31 May 2011

Published in: Econometrics Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1368-423x.2009.00307.x

zbMATH Keywords

Bayesian inference

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05) Numerical analysis or methods applied to Markov chains (65C40)

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Uses Software

• FinTS

Cites Work

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