Bayesian analysis of ARMA-GARCH models: a Markov chain sampling approach
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Cites work
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Bayes inference in regression models with ARMA\((p,q)\) errors
- Bayesian Inference in Econometric Models Using Monte Carlo Integration
- Exact predictive densities for linear models with ARCH disturbances
- Generalized autoregressive conditional heteroscedasticity
- Markov chains for exploring posterior distributions. (With discussion)
- Monte Carlo posterior integration in GARCH models
- Monte Carlo sampling methods using Markov chains and their applications
- SIMANN: A Global Optimization Algorithm using Simulated Annealing
Cited in
(29)- A Markov-Chain Sampling Algorithm for GARCH Models
- Factor estimation using MCMC-based Kalman filter methods
- An empirical evaluation of fat-tailed distributions in modeling financial time series
- Computational tools for comparing asymmetric GARCH models via Bayes factors
- Priors for Bayesian adaptive spline smoothing
- scientific article; zbMATH DE number 1984177 (Why is no real title available?)
- Bayesian subset selection for threshold autoregressive moving-average models
- Bayesian analysis of switching ARCH models
- Bayesian testing for non-linearity in volatility modeling
- Forecasting electricity demand in Japan: a Bayesian spatial autoregressive ARMA approach
- Neural Network Models for Conditional Distribution Under Bayesian Analysis
- Modeling financial time series based on a market microstructure model with leverage effect
- scientific article; zbMATH DE number 6719471 (Why is no real title available?)
- Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with Student-t innovations
- Bayesian semiparametric double autoregressive modeling
- Bayesian estimation of ARMA-GARCH model of weekly foreign exchange rates
- Comparison of MCMC Methods for Estimating GARCH Models
- Stochastic variational inference for GARCH models
- Bayesian estimation of generalized hyperbolic skewed student GARCH models
- Bayesian analysis of stochastic volatility models with mixture-of-normal distributions
- Bayesian Analysis of a Doubly Truncated ARMA-GARCH Model
- A modified ARMAX-GARCH model: a comparison between Bayesian and non-Bayesian estimators -- testing the small-sample properties
- A comparison of Bayesian model selection based on MCMC with an application to GARCH-type models
- Moving average stochastic volatility models with application to inflation forecast
- Bayesian estimation of the Gaussian mixture GARCH model
- Estimation and properties of a time-varying GQARCH(1,1)-M model
- A NOTE ON DEMAND AND SUPPLY FACTORS IN MANUFACTURING OUTPUT ASYMMETRIES
- An Interest-rate Model Analysis Based on Data Augmentation Bayesian Forecasting
- Bayesian estimation of \(\mathrm{GARCH}(p,q)\) model
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