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Bayesian analysis of ARMA-GARCH models: A Markov chain sampling approach

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Nakatsuma, Teruo
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File URL: http://www.sciencedirect.com/science/article/B6VC0-3Y0JNP7-3/2/41c4cbac33129b316d909c4c91049b40
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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 95 (2000)
Issue (Month): 1 (March)
Pages: 57-69
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Handle: RePEc:eee:econom:v:95:y:2000:i:1:p:57-69

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  1. Sarantis Tsiaplias, 2007. "A Metropolis-in-Gibbs Sampler for Estimating Equity Market Factors," Melbourne Institute Working Paper Series wp2007n18, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne. [Downloadable!]
  2. María Concepcion Ausin & Pedro Galeano, 2005. "Bayesian Estimation Of The Gaussian Mixture Garch Model," Statistics and Econometrics Working Papers ws053605, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
  3. Elena Goldman & Hiroki Tsurumi, 2005. "Bayesian Analysis of a Doubly Truncated ARMA-GARCH Model," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 9(2), pages 1166-1166. [Downloadable!] (restricted)
  4. Jouchi Nakajima, 2008. "EGARCH and Stochastic Volatility: Modeling Jumps and Heavy-tails for Stock Returns," IMES Discussion Paper Series 08-E-23, Institute for Monetary and Economic Studies, Bank of Japan. [Downloadable!]
  5. Sylvia Kaufmann & Martin Scheicher, 2006. "A Switching ARCH Model for the German DAX Index," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 10(4), pages 1290-1290. [Downloadable!] (restricted)
  6. Lanne, Markku & Luoto, Jani, 2007. "Robustness of the Risk-Return Relationship in the U.S. Stock Market," MPRA Paper 3879, University Library of Munich, Germany. [Downloadable!]
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  7. Terence D.Agbeyegbe & Elena Goldman, 2005. "Estimation of threshold time series models using efficient jump MCMC," Hunter College Department of Economics Working Papers 406, Hunter College: Department of Economics, revised 2005. [Downloadable!]
  8. Sylvia Fruhwirth-Schnattaer & Sylvia Kaufmann, 2000. "Bayesian Analysis of Switching ARCH Models," Econometric Society World Congress 2000 Contributed Papers 1381, Econometric Society. [Downloadable!]
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