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A Bayesian method of change-point estimation with recurrent regimes: application to GARCH models

Bibliographic reference Bauwens, Luc ; De Backer, Bruno ; Dufays, Arnaud. A Bayesian method of change-point estimation with recurrent regimes: application to GARCH models. In: Journal of Empirical Finance, Vol. 29, p. 207-229 (2014)
Permanent URL http://hdl.handle.net/2078.1/153254