Bayesian inference for the mixed conditional heteroskedasticity model

DOI10.1111/j.1368-423X.2007.00213.xzbMath1122.62015OpenAlexW3121881165WikidataQ126254774 ScholiaQ126254774MaRDI QIDQ5427676

Jeroen V. K. Rombouts, Luc Bauwens

Publication date: 21 November 2007

Published in: The Econometrics Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1368-423x.2007.00213.x

zbMATH Keywords

marginal likelihoodvalue at riskfinite mixturesML estimation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15)

Related Items (4)

Bayesian option pricing using mixed normal heteroskedasticity models ⋮ Convergence of Griddy Gibbs sampling and other perturbed Markov chains ⋮ A long memory model with normal mixture GARCH ⋮ Asymmetric multivariate normal mixture GARCH

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• The Calculation of Posterior Distributions by Data Augmentation
• On a Mixture Autoregressive Conditional Heteroscedastic Model
• Finite mixture models
• Bayes Factors
• On a Mixture Autoregressive Model
• Contemporary Bayesian Econometrics and Statistics

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