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Bayesian inference on GARCH models using the Gibbs sampler

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Cited by:

  1. Mathias Silva & Michel Lubrano, 2023. "Bayesian correction for missing rich using a Pareto II tail with unknown threshold: Combining EU-SILC and WID data," AMSE Working Papers 2320, Aix-Marseille School of Economics, France.
  2. Zhang, Xibin & King, Maxwell L. & Hyndman, Rob J., 2006. "A Bayesian approach to bandwidth selection for multivariate kernel density estimation," Computational Statistics & Data Analysis, Elsevier, vol. 50(11), pages 3009-3031, July.
  3. Sylvia Kaufmann & Sylvia Frühwirth‐Schnatter, 2002. "Bayesian analysis of switching ARCH models," Journal of Time Series Analysis, Wiley Blackwell, vol. 23(4), pages 425-458, July.
  4. Audrone Virbickaite & M. Concepción Ausín & Pedro Galeano, 2015. "Bayesian Inference Methods For Univariate And Multivariate Garch Models: A Survey," Journal of Economic Surveys, Wiley Blackwell, vol. 29(1), pages 76-96, February.
  5. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2006. "Volatility and Correlation Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 15, pages 777-878, Elsevier.
  6. Miazhynskaia, Tatiana & Fruhwirth-Schnatter, Sylvia & Dorffner, Georg, 2006. "Bayesian testing for non-linearity in volatility modeling," Computational Statistics & Data Analysis, Elsevier, vol. 51(3), pages 2029-2042, December.
  7. Juan Carlos Ruilova & Pedro Alberto Morettin, 2020. "Parsimonious Heterogeneous ARCH Models for High Frequency Modeling," JRFM, MDPI, vol. 13(2), pages 1-19, February.
  8. Zhang, Xibin & King, Maxwell L., 2008. "Box-Cox stochastic volatility models with heavy-tails and correlated errors," Journal of Empirical Finance, Elsevier, vol. 15(3), pages 549-566, June.
  9. Lubrano, Michel, 2004. "Modélisation bayésienne non linéaire du taux d’intérêt de court terme américain : l’aide des outils non paramétriques," L'Actualité Economique, Société Canadienne de Science Economique, vol. 80(2), pages 465-499, Juin-Sept.
  10. Oleg Korenok & Stanislav Radchenko, 2005. "The smooth transition autoregressive target zone model with the Gaussian stochastic volatility and TGARCH error terms with applications," Econometrics 0508015, University Library of Munich, Germany.
  11. Tareq Sadeq & Michel Lubrano, 2018. "The Wall’s Impact in the Occupied West Bank: A Bayesian Approach to Poverty Dynamics Using Repeated Cross-Sections," Econometrics, MDPI, vol. 6(2), pages 1-24, May.
  12. Zhongxian Men & Tony S. Wirjanto & Adam W. Kolkiewicz, 2013. "Bayesian Inference of Multiscale Stochastic Conditional Duration Models," Working Paper series 63_13, Rimini Centre for Economic Analysis.
  13. Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2004. "Likelihood-Based Estimation of Latent Generalized ARCH Structures," Econometrica, Econometric Society, vol. 72(5), pages 1481-1517, 09.
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