Computational tools for comparing asymmetric GARCH models via Bayes factors

DOI10.1016/J.MATCOM.2011.12.005MaRDI QIDQ419441zbMATH OpenOpenAlexFDO

Authors Ricardo S. Ehlers

Publication date 18 May 2012

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.matcom.2011.12.005

zbMATH Keywords

Markov chain Monte CarloMetropolis-Hastingsmarginal likelihood

Mathematics Subject Classification ID

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)

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Cites work

• scientific article; zbMATH DE number 3930122 (Why is no real title available?)
• A Skew Extension of the T-Distribution, with Applications
• ARCH modeling in finance. A review of the theory and empirical evidence
• Accept–reject Metropolis–Hastings sampling and marginal likelihood estimation
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Bayes Factors
• Bayesian analysis of ARMA-GARCH models: a Markov chain sampling approach
• Bayesian comparison of bivariate ARCH-type models for the main exchange rates in Poland
• Bayesian inference on GARCH models using the Gibbs sampler
• Bayesian statistical modelling
• Computing marginal likelihoods from a single MCMC output
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Distributions Generated by Perturbation of Symmetry with Emphasis on a Multivariate Skewt-Distribution
• Generalized autoregressive conditional heteroscedasticity
• MCMC Bayesian Estimation of a Skew-GED Stochastic Volatility Model
• Marginal Likelihood Estimation via Power Posteriors
• Marginal Likelihood From the Metropolis–Hastings Output
• Misspecification and Domain Issues in Fitting Garch(1, 1) Models: A Monte Carlo Investigation
• Monte Carlo methods in Bayesian computation
• On Bayesian Modeling of Fat Tails and Skewness

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