Bayesian Analysis of a Doubly Truncated ARMA-GARCH Model

DOI10.2202/1558-3708.1166MaRDI QIDQ3368385zbMATH OpenOpenAlexFDO

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

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)

Recommendations

• Bayesian analysis of ARMA-GARCH models: a Markov chain sampling approach
• Bayes inference in regression models with ARMA\((p,q)\) errors
• scientific article; zbMATH DE number 1984177
• Bayesian statistical computations of nonlinear financial time series models: a survey with illustrations
• Bayesian estimation of ARMA-GARCH model of weekly foreign exchange rates

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

This page was built for publication: Bayesian Analysis of a Doubly Truncated ARMA-GARCH Model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3368385)