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 inferenceGARCHMarkov-chain Monte CarloMetropolis-Hastings algorithm

Mathematics Subject Classification ID

Economic time series analysis (91B84)

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(6)

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Describes a project that uses

Uses Software

• GAUSS
• SIMANN

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