Bayesian estimation of the Gaussian mixture GARCH model

DOI10.1016/j.csda.2006.01.006zbMath1161.62397MaRDI QIDQ1019890

Pedro Galeano, María Concepción Ausín

Publication date: 29 May 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2006.01.006

zbMATH Keywords

value at risk; mixtures models; Griddy-Gibbs sampler

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

62F15: Bayesian inference

Related Items

Mixture periodic autoregressive conditional heteroskedastic models, Misspecification and Domain Issues in Fitting Garch(1, 1) Models: A Monte Carlo Investigation

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Comparing stochastic volatility models through Monte Carlo simulations
• ARCH modeling in finance. A review of the theory and empirical evidence
• Kurtosis of GARCH and stochastic volatility models with non-normal innovations
• Generalized autoregressive conditional heteroscedasticity
• Markov chains for exploring posterior distributions. (With discussion)
• Bayesian analysis of ARMA-GARCH models: a Markov chain sampling approach
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Rao-Blackwellisation of sampling schemes
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Comparing probabilistic methods for outlier detection in linear models
• On a Mixture Autoregressive Conditional Heteroscedastic Model
• A Bayesian approach to some outlier problems
• Bayesian inference on GARCH models using the Gibbs sampler