Bayesian model selection for heteroskedastic models
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Publication:3573007
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Cited in
(16)- Threshold variable selection of asymmetric stochastic volatility models
- Model selection of a switching mechanism for financial time series
- scientific article; zbMATH DE number 7578297 (Why is no real title available?)
- BAYESIAN SUBSET SELECTION AND MODEL AVERAGING USING A CENTRED AND DISPERSED PRIOR FOR THE ERROR VARIANCE
- Bivariate asymmetric GARCH models with heavy tails and dynamic conditional correlations
- Comparison of nonnested asymmetric heteroskedastic models
- Bayesian analysis of multiple thresholds autoregressive model
- Computational tools for comparing asymmetric GARCH models via Bayes factors
- A general Bayesian model for heteroskedastic data with fully conjugate full-conditional distributions
- Volatility forecasting using threshold heteroskedastic models of the intra-day range
- Bayesian analysis of tail asymmetry based on a threshold extreme value model
- Detection of structural breaks in a time-varying heteroskedastic regression model
- Approximate Bayesian model selection with the deviance statistic
- On double hysteretic heteroskedastic model
- Bayesian Model Selection: Measuring the χ2Discrepancy with the Uniform Distribution
- Testing for nonlinearity in mean and volatility for heteroskedastic models
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