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Bayesian estimation of switching ARMA models

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Author Info
Billio, M.
Monfort, A.
Robert, C. P.

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File URL: http://www.sciencedirect.com/science/article/B6VC0-3XCFNPR-2/2/f79d155f06e0ec3ab596d1ab4f7cfd1a
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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 93 (1999)
Issue (Month): 2 (December)
Pages: 229-255
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Handle: RePEc:eee:econom:v:93:y:1999:i:2:p:229-255

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  1. John M. Maheu & Thomas H. McCurdy, 2001. "Nonlinear Features of Realized FX Volatility," CIRANO Working Papers 2001s-42, CIRANO. [Downloadable!]
    Other versions:
  2. Monfort, Alain & Renne, Jean-Paul & Rüffer, Rasmus & Vitale, Giovanni, 2003. "Is Economic Activity in the G7 Synchronized? Common Shocks versus Spillover Effects," CEPR Discussion Papers 4119, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
  3. Graflund, Andreas, 2000. "A Bayesian Inference Approach to Testing Mean Reversion in the Swedish Stock Market," Working Papers 2000:8, Lund University, Department of Economics, revised 09 Nov 2000. [Downloadable!]
  4. Castelnuovo , Efrem & Greco , Luciano & Raggi, Davide, 2008. "Estimating regime-switching Taylor rules with trend inflation," Research Discussion Papers 20/2008, Bank of Finland. [Downloadable!]
  5. Andreas Graflund, 2000. "A Bayes Inference Approach to Testing Mean Reversion in the Swedish Stock Market," Econometric Society World Congress 2000 Contributed Papers 1363, Econometric Society. [Downloadable!]
  6. Rosella Castellano & Luisa Scaccia, 2007. "Bayesian inference for Hidden Markov Model," Working Papers 43-2007, Macerata University, Department of Finance and Economic Sciences, revised Oct 2008. [Downloadable!]
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