Bayesian case influence analysis for GARCH models based on Kullback-Leibler divergence

DOI10.1016/J.JKSS.2016.05.002zbMATH Open1349.62404OpenAlexW2466197699MaRDI QIDQ334843FDOQ334843

Authors: Hongxia Hao, Hongxia Wang, Xing-Fang Huang, Jinguan Lin 

Publication date: 1 November 2016

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jkss.2016.05.002

Recommendations

• Bayesian inference on GARCH models using the Gibbs sampler
• Bayesian inference of multivariate-GARCH-BEKK models
• Bayesian estimation of the Gaussian mixture GARCH model
• Publication:4945619
• Bayesian semiparametric multivariate GARCH modeling
• Bayesian estimation of \(\mathrm{GARCH}(p,q)\) model
• Granger-causal analysis of GARCH models: a Bayesian approach

zbMATH Keywords

GARCH modelsKullback-Leibler divergenceBayesian case influence

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Diagnostics, and linear inference and regression (62J20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Bayesian inference on GARCH models using the Gibbs sampler
• Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
• Bayesian analysis of outlier problems using divergence measures
• Title not available (Why is that?)
• Inference in Arch and Garch Models with Heavy-Tailed Errors
• Influence diagnostics in a vector autoregressive model
• Bayesian estimation of the Gaussian mixture GARCH model
• Influence diagnostics in log-linear integer-valued GARCH models
• Bayesian semiparametric multivariate GARCH modeling
• Influence diagnostics for multivariate GARCH processes
• Bayesian Case Influence Diagnostics for Survival Models
• Assessment of Local Influence in GARCH Processes

Cited In (1)

• Bayesian influence diagnostics using normalized functional Bregman divergence

This page was built for publication: Bayesian case influence analysis for GARCH models based on Kullback-Leibler divergence

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q334843)