Bayesian non-parametric mixtures of GARCH(1,1) models

DOI10.1155/2012/167431zbMATH Open1263.62111OpenAlexW1968584408WikidataQ58910951 ScholiaQ58910951MaRDI QIDQ454766FDOQ454766

Authors: John W. Lau, Ed Cripps 

Publication date: 10 October 2012

Published in: Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2012/167431

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Mathematics Subject Classification ID

Bayesian inference (62F15) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical analysis or methods applied to Markov chains (65C40) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited In (11)

• Finite mixture model: a comparison method for nonlinear time series data
• Stochastic change-point ARX-GARCH models and their applications to econometric time series
• Title not available (Why is that?)
• A conjugate class of random probability measures based on tilting and with its posterior analysis
• Skew-Normal Mixture and Markov-Switching GARCH Processes
• Bayesian inference on mixture-of-experts for estimation of stochastic volatility
• Bayesian Clustering of Many Garch Models
• Bayesian estimation of smoothly mixing time-varying parameter GARCH models
• Discussion of ``Nonparametric Bayesian inference in applications: Bayesian nonparametric methods in econometrics
• Title not available (Why is that?)
• Modelling nonlinearities and heavy tails via threshold normal mixture GARCH models

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