Threshold variable selection of asymmetric stochastic volatility models
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Cites work
- scientific article; zbMATH DE number 3742453 (Why is no real title available?)
- scientific article; zbMATH DE number 48093 (Why is no real title available?)
- Autoregressive conditional heteroskedasticity and changes in regime
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- Bayesian Methods for Hidden Markov Models
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- Bayesian forecasting for financial risk management, pre and post the global financial crisis
- Bayesian model choice based on Monte Carlo estimates of posterior model probabilities
- Bayesian model selection for heteroskedastic models
- Block sampler and posterior mode estimation for asymmetric stochastic volatility models
- Comparison of nonnested asymmetric heteroskedastic models
- Dynamic Asymmetric Leverage in Stochastic Volatility Models
- Falling and explosive, dormant, and rising markets via multi-regime financial time series models
- Marginal Likelihood From the Metropolis–Hastings Output
- Marginal Likelihood from the Gibbs Output
- Model weights for model choice and averaging
- On some difficulties with a posterior probability approximation technique
- Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
- THRESHOLD VARIABLE SELECTION IN OPEN‐LOOP THRESHOLD AUTOREGRESSIVE MODELS
- Threshold variable determination and threshold variable driven switching autoregressive mod\-els
- Threshold variable selection by wavelets in open-loop threshold autoregressive models
- Threshold variable selection using nonparametric methods
Cited in
(4)- Skew exponential power stochastic volatility model for analysis of skewness, non-normal tails, quantiles and expectiles
- Bayesian model selection for heteroskedastic models
- Data cloning estimation for asymmetric stochastic volatility models
- An empirical Bayesian forecast in the threshold stochastic volatility models
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