Bayesian analysis of switching ARCH models
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Cites work
- Bayesian analysis of ARMA-GARCH models: a Markov chain sampling approach
- Calculating posterior distributions and modal estimates in Markov mixture models
- Fully Bayesian analysis of switching Gaussian state space models
- Markov chain Monte Carlo Estimation of Classical and Dynamic Switching and Mixture Models
- Measuring business cycles with a dynamic Markov switching factor model: an assessment using Bayesian simulation methods
- Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
Cited in
(19)- Time series clustering based on forecast densities
- Bayesian testing for non-linearity in volatility modeling
- Interpretation and inference in mixture models: simple MCMC works
- 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
- A computational technique to classify several fractional Brownian motion processes
- Marginal likelihood for Markov-switching and change-point GARCH models
- Robust and efficient specification tests in Markov-switching autoregressive models
- A flexible prior distribution for Markov switching autoregressions with Student-\(t\) errors
- Markov switching component GARCH model: stability and forecasting
- Estimating marginal likelihoods for mixture and Markov switching models using bridge sampling techniques*
- Bayesian Inference and Forecasting in Dynamic Neural Networks with Fully Markov Switching ARCH Noises
- Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with Student-t innovations
- Bayesian non-parametric mixtures of GARCH(1,1) models
- Level changes in volatility models
- Neural Network Models for Conditional Distribution Under Bayesian Analysis
- Markov switching asymmetric GARCH model: stability and forecasting
- A comparison of Bayesian model selection based on MCMC with an application to GARCH-type models
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