A Markov-Chain Sampling Algorithm for GARCH Models

DOI10.2202/1558-3708.1043MaRDI QIDQ3368228zbMATH OpenOpenAlexFDO

Authors Teruo Nakatsuma

Publication date 27 January 2006

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.579.6831

zbMATH Keywords

Bayesian inferenceGARCHMetropolis-Hastings algorithmMarkov-chain Monte Carlo

Mathematics Subject Classification ID

Economic time series analysis (91B84)

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Cited in

(5)

• Data cloning estimation of GARCH and COGARCH models
• Bayesian Nonparametric Panel Markov-Switching GARCH Models
• Bayesian semiparametric double autoregressive modeling
• Bayesian analysis of ARMA-GARCH models: a Markov chain sampling approach
• Efficient Gibbs sampling for Markov switching GARCH models

Describes a project that uses

Uses Software

• SIMANN
• GAUSS

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