Bayesian model selection for heteroskedastic models

DOI10.1016/S0731-9053(08)23018-5MaRDI QIDQ3573007zbMATH OpenFDO

Authors Cathy W. S. Chen, Mike K. P. So, Richard Gerlach

Publication date 30 June 2010

Published in Bayesian Econometrics (Search for Journal in Brave)

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical analysis or methods applied to Markov chains (65C40) Statistical methods; risk measures (91G70)

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(16)

• Approximate Bayesian model selection with the deviance statistic
• Testing for nonlinearity in mean and volatility for heteroskedastic models
• Bivariate asymmetric GARCH models with heavy tails and dynamic conditional correlations
• Bayesian Model Selection: Measuring the χ²Discrepancy with the Uniform Distribution
• Comparison of nonnested asymmetric heteroskedastic models
• Computational tools for comparing asymmetric GARCH models via Bayes factors
• Bayesian analysis of tail asymmetry based on a threshold extreme value model
• Model selection of a switching mechanism for financial time series
• Volatility forecasting using threshold heteroskedastic models of the intra-day range
• Detection of structural breaks in a time-varying heteroskedastic regression model
• On double hysteretic heteroskedastic model
• A general Bayesian model for heteroskedastic data with fully conjugate full-conditional distributions
• scientific article; zbMATH DE number 7578297 (Why is no real title available?)
• Threshold variable selection of asymmetric stochastic volatility models
• Bayesian analysis of multiple thresholds autoregressive model
• BAYESIAN SUBSET SELECTION AND MODEL AVERAGING USING A CENTRED AND DISPERSED PRIOR FOR THE ERROR VARIANCE

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