Bayesian inference for the mixed conditional heteroskedasticity model

DOI10.1111/J.1368-423X.2007.00213.XMaRDI QIDQ5427676zbMATH OpenOpenAlexWikidataFDO

Authors Luc Bauwens, Jeroen V. K. Rombouts

Publication date 21 November 2007

Published in Econometrics Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1368-423x.2007.00213.x

zbMATH Keywords

finite mixturesmarginal likelihoodML estimationvalue at risk

Mathematics Subject Classification ID

Bayesian inference (62F15) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• Accurate Approximations for Posterior Moments and Marginal Densities
• Adaptive radial-based direction sampling: some flexible and robust Monte Carlo integration methods
• Bayes Factors
• Bayesian inference in dynamic econometric models. With a foreword by Jacques J. Drèze
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Contemporary Bayesian Econometrics and Statistics
• Exact predictive densities for linear models with ARCH disturbances
• Finite mixture models
• Generalized autoregressive conditional heteroscedasticity
• scientific article; zbMATH DE number 3277086 (Why is no real title available?)
• On a Mixture Autoregressive Conditional Heteroscedastic Model
• On a Mixture Autoregressive Model
• The Calculation of Posterior Distributions by Data Augmentation

Cited in

(9)

• Bayesian estimation of the Gaussian mixture GARCH model
• Bayesian option pricing using mixed normal heteroskedasticity models
• Bayesian analysis of structural correlated unobserved components and identification via heteroskedasticity
• A Bayesian perspective on mixed GARCH models with jumps
• A general Bayesian model for heteroskedastic data with fully conjugate full-conditional distributions
• Convergence of Griddy Gibbs sampling and other perturbed Markov chains
• A long memory model with normal mixture GARCH
• A note on Bayesian interpretations of HCCME-type refinements for nonlinear GMM models
• Asymmetric multivariate normal mixture GARCH

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