Bayesian analysis of switching ARCH models

DOI10.1111/1467-9892.00271zbMath1091.62076OpenAlexW3124448067MaRDI QIDQ5467629

Sylvia Frühwirth-Schnatter, Sylvia Kaufmann

Publication date: 24 May 2006

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9892.00271

zbMATH Keywords

Bayesian analysisMCMC simulation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Numerical analysis or methods applied to Markov chains (65C40)

Related Items (19)

Estimating marginal likelihoods for mixture and Markov switching models using bridge sampling techniques* ⋮ A flexible prior distribution for Markov switching autoregressions with Student-\(t\) errors ⋮ A computational technique to classify several fractional Brownian motion processes ⋮ A comparison of Bayesian model selection based on MCMC with an application to GARCH-type models ⋮ Efficient Gibbs sampling for Markov switching GARCH models ⋮ Long memory and nonlinearities in realized volatility: a Markov switching approach ⋮ A new non-linear \(AR(1)\) time series model having approximate beta marginals ⋮ Robust and efficient specification tests in Markov-switching autoregressive models ⋮ Bayesian Inference and Forecasting in Dynamic Neural Networks with Fully Markov Switching ARCH Noises ⋮ Bayesian non-parametric mixtures of GARCH(1,1) models ⋮ Level changes in volatility models ⋮ Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with Student-t innovations ⋮ Neural Network Models for Conditional Distribution Under Bayesian Analysis ⋮ Marginal likelihood for Markov-switching and change-point GARCH models ⋮ Time series clustering based on forecast densities ⋮ Bayesian testing for non-linearity in volatility modeling ⋮ Markov switching component GARCH model: Stability and forecasting ⋮ Interpretation and inference in mixture models: simple MCMC works ⋮ Markov switching asymmetric GARCH model: stability and forecasting

Uses Software

• tsbridge

Cites Work

• Calculating posterior distributions and modal estimates in Markov mixture models
• Bayesian analysis of ARMA-GARCH models: a Markov chain sampling approach
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• Measuring business cycles with a dynamic Markov switching factor model: an assessment using Bayesian simulation methods
• Markov chain Monte Carlo Estimation of Classical and Dynamic Switching and Mixture Models
• Fully Bayesian analysis of switching Gaussian state space models

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