Bayesian model selection for heteroskedastic models

DOI10.1016/S0731-9053(08)23018-5zbMATH Open1189.91222MaRDI QIDQ3573007FDOQ3573007

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)

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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)

Cited In (15)

• Bivariate asymmetric GARCH models with heavy tails and dynamic conditional correlations
• Approximate Bayesian model selection with the deviance statistic
• Bayesian Model Selection: Measuring the χ²Discrepancy with the Uniform Distribution
• Testing for nonlinearity in mean and volatility for heteroskedastic models
• 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
• 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
• Title not available (Why is that?)
• A general Bayesian model for heteroskedastic data with fully conjugate full-conditional distributions
• 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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