Bayesian analysis of mixture of autoregressive components with an application to financial market volatility

DOI10.1002/ASMB.613zbMath1115.62088OpenAlexW2120363443MaRDI QIDQ3439757

Stefano Sampietro

Publication date: 29 May 2007

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.613

zbMATH Keywords

MCMC methodsBayesian model selectionvolatilitystationarity conditionsmixture autoregressive models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Numerical analysis or methods applied to Markov chains (65C40)

Related Items (2)

Bayesian analysis of mixture autoregressive models covering the complete parameter space ⋮ On first and second order stationarity of random coefficient models

Cites Work

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• Statistical analysis of finite mixture distributions
• On a Mixture Autoregressive Model
• Fully Bayesian analysis of switching Gaussian state space models

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