Bayesian inference of smooth transition autoregressive (STAR)(k)-GARCH(l, m) models
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Publication:2029214
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Cites work
- A comparison of Bayesian model selection based on MCMC with an application to GARCH-type models
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- Bayesian estimation of smooth transition GARCH model using Gibbs sampling
- Bayesian inference for smooth transition autoregressive (STAR) model: a prior sensitivity analysis
- Bayesian Model Uncertainty In Smooth Transition Autoregressions
- Bayesian selection of threshold autoregressive models
- Equation of state calculations by fast computing machines
- Estimating m-regimes STAR-GARCH model using QMLE with parameter transformation
- Generalized autoregressive conditional heteroscedasticity
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- scientific article; zbMATH DE number 48093 (Why is no real title available?)
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- On estimation in conditional heteroskedastic time series models under non-normal distribu\-tions
- Quadratic ARCH Models
- Reversible jump Markov chain Monte Carlo computation and Bayesian model determination
- Reversible Jump Markov Chain Monte Carlo Strategies for Bayesian Model Selection in Autoregressive Processes
- SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS
- Specification, estimation, and evaluation of smooth transition autoregressive models
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Cited in
(8)- Bayesian estimation of smooth transition GARCH model using Gibbs sampling
- Bayesian Model Uncertainty In Smooth Transition Autoregressions
- Time series mean level and stochastic volatility modeling by smooth transition autoregressions: a Bayesian approach
- Bayesian inference for smooth transition autoregressive (STAR) model: a prior sensitivity analysis
- Estimating m-regimes STAR-GARCH model using QMLE with parameter transformation
- A study of regional capital liquidity based on Bayesian panel smooth transition regression models
- Bayesian inference of multivariate-GARCH-BEKK models
- Bayesian estimation and model selection of a multivariate smooth transition autoregressive model
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