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Bayesian estimation of switching ARMA models

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  • Billio, M.
  • Monfort, A.
  • Robert, C. P.

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Bibliographic Info

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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Web page: http://www.elsevier.com/locate/jeconom

For corrections or technical questions regarding this item, or to correct its listing, contact: (Jeroen Loos).

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Citations

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Cited by:
  1. S. Bordignon & D. Raggi, 2010. "Long memory and nonlinearities in realized volatility: a Markov switching approach," Working Papers 694, Dipartimento Scienze Economiche, Universita' di Bologna.
  2. 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.
  3. John M. Maheu & Thomas H. McCurdy, 2001. "Nonlinear Features of Realized FX Volatility," CIRANO Working Papers 2001s-42, CIRANO.
  4. Chao-Chun Chen & Wen-Jen Tsay, 2007. "Estimating Markov-Switching ARMA Models with Extended Algorithms of Hamilton," IEAS Working Paper : academic research 07-A009, Institute of Economics, Academia Sinica, Taipei, Taiwan.
  5. 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.
  6. Castelnuovo, Efrem & Greco, Luciano & Raggi, Davide, 2008. "Estimating regime-switching Taylor rules with trend inflation," Research Discussion Papers 20/2008, Bank of Finland.
  7. 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.
  8. 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.

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