Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with Student-t innovations
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Publication:3566441
DOI10.1111/J.1368-423X.2008.00253.XzbMATH Open1190.62155OpenAlexW2169031796MaRDI QIDQ3566441FDOQ3566441
Authors: David Ardia 
Publication date: 8 June 2010
Published in: Econometrics Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1368-423x.2008.00253.x
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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)
Cites Work
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- Forecasting Stock Market Volatility with Regime-Switching GARCH Models
- Business cycle asymmetries in stock returns: evidence from higher order moments and conditional densities
- Bayesian analysis of ARMA-GARCH models: a Markov chain sampling approach
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
- Title not available (Why is that?)
- Long memory and nonlinearities in realized volatility: a Markov switching approach
- Markov switch smooth transition HYGARCH model: stability and estimation
- A dynamic Markov regime-switching asymmetric GARCH model and its cumulative impulse response function
- Estimation and inference for exponential smooth transition nonlinear volatility models
- Modelling volatility asymmetries: a Bayesian analysis of a class of tree structured multivariate GARCH models
- Bayesian estimation of an extended local scale stochastic volatility model
- A Switching ARCH Model for the German DAX Index
- Semiparametric GARCH via Bayesian Model Averaging
- A nesting framework for Markov-switching GARCH modelling with an application to the German stock market
- Performance of MS-GARCH Models: Bayesian MCMC-Based Estimation
- Bayesian estimation of generalized hyperbolic skewed student GARCH models
- Title not available (Why is that?)
- Bayesian analysis of periodic asymmetric power GARCH models
- Markov switching asymmetric GARCH model: stability and forecasting
- Bayesian model selection for heteroskedastic models
- Estimation and properties of a time-varying GQARCH(1,1)-M model
- Title not available (Why is that?)
- Value-at-risk via mixture distributions reconsidered
- A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns
- Falling and explosive, dormant, and rising markets via multi-regime financial time series models
- Markov regime-switching autoregressive model with tempered stable distribution: simulation evidence
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