Bayesian estimation of smooth transition GARCH model using Gibbs sampling

DOI10.1016/S0378-4754(03)00121-6zbMath1031.62079MaRDI QIDQ1418604

Hajime Wago

Publication date: 14 January 2004

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

zbMATH Keywords

MCMCFinancial time seriesAsymmetric GARCHNonlinear modellingRegimesSmooth transition

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (1)

Bayesian inference of smooth transition autoregressive (STAR)\((k)\)-GARCH\((l, m)\) models

Cites Work

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• Antithetic acceleration of Monte Carlo integration in Bayesian inference
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• Generalized autoregressive conditional heteroscedasticity
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models
• Monte Carlo sampling methods using Markov chains and their applications

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