Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with Student-t innovations
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Publication:3566441
Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
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Cited in
(26)- Comparison of nonnested asymmetric heteroskedastic models
- Asymmetric volatility models with structural breaks
- Model selection of a switching mechanism for financial time series
- Long memory and regime switching in the stochastic volatility modelling
- Long memory and nonlinearities in realized volatility: a Markov switching approach
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