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

DOI10.1155/2012/167431MaRDI QIDQ454766zbMATH OpenOpenAlexWikidataFDO

Authors John W. Lau, Ed Cripps

Publication date 10 October 2012

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

Copyright license Creative Commons Attribution 4.0 International

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

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)

• Skew-Normal Mixture and Markov-Switching GARCH Processes
• scientific article; zbMATH DE number 6951458 (Why is no real title available?)
• Modelling nonlinearities and heavy tails via threshold normal mixture GARCH models
• Bayesian estimation of smoothly mixing time-varying parameter GARCH models
• A conjugate class of random probability measures based on tilting and with its posterior analysis
• Bayesian inference on mixture-of-experts for estimation of stochastic volatility
• Finite mixture model: a comparison method for nonlinear time series data
• Stochastic change-point ARX-GARCH models and their applications to econometric time series
• Discussion of ``Nonparametric Bayesian inference in applications: Bayesian nonparametric methods in econometrics
• Bayesian Clustering of Many Garch Models
• scientific article; zbMATH DE number 6719471 (Why is no real title available?)

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