Efficient Gibbs sampling for Markov switching GARCH models
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Publication:1659098
DOI10.1016/j.csda.2014.04.011zbMath1466.62032arXiv1212.5397OpenAlexW2004716732MaRDI QIDQ1659098
Anthony Osuntuyi, Monica Billio, Roberto Casarin
Publication date: 15 August 2018
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1212.5397
Computational methods for problems pertaining to statistics (62-08) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Related Items (6)
Bayesian Nonparametric Panel Markov-Switching GARCH Models ⋮ Markov-switching quantile autoregression: a Gibbs sampling approach ⋮ Maximum likelihood estimation of the Markov-switching GARCH model based on a general collapsing procedure ⋮ Markov Switching GARCH Models: Filtering, Approximations and Duality ⋮ Probabilistic properties of a Markov-switching periodic GARCH process ⋮ High-frequency volatility modeling: a Markov-switching autoregressive conditional intensity model
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