Bayesian Analysis of a Doubly Truncated ARMA-GARCH Model

DOI10.2202/1558-3708.1166zbMATH Open1081.91588OpenAlexW1969781610MaRDI QIDQ3368385FDOQ3368385

Authors: Elena Goldman, Hiroki Tsurumi 

Publication date: 27 January 2006

Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2202/1558-3708.1166

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zbMATH Keywords

model selectiondouble truncationpurchasing power parityMarkov Chain Monte Carlo algorithms

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical analysis or methods applied to Markov chains (65C40) Economic time series analysis (91B84) Sums of independent random variables; random walks (60G50)

Cited In (2)

• Simulated maximum likelihood in autoregressive models with stochastic volatility errors
• Testing efficient market hypothesis for the dollar--sterling gold standard exchange rate 1890--1906: MLE with double truncation

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