Bayesian analysis of switching ARCH models
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Publication:5467629
DOI10.1111/1467-9892.00271zbMath1091.62076OpenAlexW3124448067MaRDI QIDQ5467629
Sylvia Frühwirth-Schnatter, Sylvia Kaufmann
Publication date: 24 May 2006
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1467-9892.00271
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Numerical analysis or methods applied to Markov chains (65C40)
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Uses Software
Cites Work
- Calculating posterior distributions and modal estimates in Markov mixture models
- Bayesian analysis of ARMA-GARCH models: a Markov chain sampling approach
- Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
- Measuring business cycles with a dynamic Markov switching factor model: an assessment using Bayesian simulation methods
- Markov chain Monte Carlo Estimation of Classical and Dynamic Switching and Mixture Models
- Fully Bayesian analysis of switching Gaussian state space models
