User menu

Bayesian inference for the mixed conditional heteroskedasticity model

Bibliographic reference Bauwens, Luc ; Rombouts, Jeroen. Bayesian inference for the mixed conditional heteroskedasticity model. In: Econometrics Journal, Vol. 10, no. 2, p. 408-425 (Juillet 2007)
Permanent URL
  1. Alexander Carol, Lazar Emese, Normal mixture GARCH(1,1): applications to exchange rate modelling, 10.1002/jae.849
  2. Bauwens Luc, Bos Charles S., van Dijk Herman K., van Oest Rutger D., Adaptive radial-based direction sampling: some flexible and robust Monte Carlo integration methods, 10.1016/j.jeconom.2003.12.002
  3. Bauwens L., Computational Statistics and Data Analysis (2006)
  4. Bauwens Luc, Lubrano Michel, Bayesian Inference on GARCH Models Using the Gibbs Sampler, 10.1111/1368-423x.11003
  5. Bauwens L., Bayesian Inference in Dynamic Econometric Models (1999)
  6. Bollerslev Tim, Generalized autoregressive conditional heteroskedasticity, 10.1016/0304-4076(86)90063-1
  7. Bollerslev T., Handbook of Econometrics, 2959 (1994)
  8. Dempster A., Journal of the Royal Statistical Society Series B, 39, 1 (1977)
  9. Diebold F., Econometric Reviews, 5, 51 (1986)
  10. Geweke John, Exact predictive densities for linear models with arch disturbances, 10.1016/0304-4076(89)90030-4
  11. Geweke J., Journal of Econometrics (2005)
  12. Haas M., Mixed Normal Conditional Heteroskedasticity, 10.1093/jjfinec/nbh009
  13. Haas M., A New Approach to Markov-Switching GARCH Models, 10.1093/jjfinec/nbh020
  14. Kass Robert E., Raftery Adrian E., Bayes Factors, 10.2307/2291091
  15. Kleibergen F., Journal of Applied Econometrics, 8, S41 (1993)
  16. Marin J., Bayesian Modelling and Inference on Mixtures of Distributions, Handbook of Statistics 25 (2005)
  17. McLachlan Geoffrey, Peel David, Finite Mixture Models : McLachlan/Finite Mixture Models, ISBN:9780471721185, 10.1002/0471721182
  18. Mikosch Thomas, Stărică Cătălin, Nonstationarities in Financial Time Series, the Long-Range Dependence, and the IGARCH Effects, 10.1162/003465304323023886
  19. Nelson Daniel B., Conditional Heteroskedasticity in Asset Returns: A New Approach, 10.2307/2938260
  20. Richardson Sylvia., Green Peter J., On Bayesian Analysis of Mixtures with an Unknown Number of Components (with discussion), 10.1111/1467-9868.00095
  21. Tanner Martin A., Wong Wing Hung, The Calculation of Posterior Distributions by Data Augmentation, 10.2307/2289457
  22. Tierney Luke, Kadane Joseph B., Accurate Approximations for Posterior Moments and Marginal Densities, 10.2307/2287970
  23. Wilks S., Mathematical Statistics (1962)
  24. Wong C. S., Li W. K., On a mixture autoregressive model, 10.1111/1467-9868.00222
  25. Wong Chun Shan, Li Wai Keung, On a Mixture Autoregressive Conditional Heteroscedastic Model, 10.1198/016214501753208645