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Non-stationarity in GARCH Models: A Bayesian Analysis

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Author Info
Kleibergen, F
Van Dijk, H K

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Article provided by John Wiley & Sons, Ltd. in its journal Journal of Applied Econometrics.

Volume (Year): 8 (1993)
Issue (Month): S (Suppl. Dec.)
Pages: S41-61
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Handle: RePEc:jae:japmet:v:8:y:1993:i:s:p:s41-61

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  1. Charles S. Bos & Ronald J. Mahieu & Herman K. van Dijk, 2001. "Daily Exchange Rate Behaviour and Hedging of Currency Risk," Tinbergen Institute Discussion Papers 01-017/4, Tinbergen Institute. [Downloadable!]
    Other versions:
  2. Teruo Nakatsuma & Hiroki Tsurumi, 1996. "ARMA-GARCH Models: Bayes Estimation Versus MLE, and Bayes Non-stationarity Test," Departmental Working Papers 199619, Rutgers University, Department of Economics. [Downloadable!]
  3. 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!]
  4. Luc Bauwens & Charles S. Bos & Herman K. van Dijk, 1999. "Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk," Tinbergen Institute Discussion Papers 99-082/4, Tinbergen Institute. [Downloadable!]
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  5. 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!]
    Other versions:
  6. Pieter J. van der Sluis, 1997. "Post-Sample Prediction Tests for the Efficient Method of Moments," Tinbergen Institute Discussion Papers 97-054/4, Tinbergen Institute. [Downloadable!]
  7. Pieter J. van der Sluis, 1997. "Computationally Attractive Stability Tests for the Efficient Method of Moments," Tinbergen Institute Discussion Papers 97-087/4, Tinbergen Institute. [Downloadable!]
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  8. M. Angeles Carnero & Daniel Peña & Esther Ruiz, 2001. "Outliers And Conditional Autoregressive Heteroscedasticity In Time Series," Statistics and Econometrics Working Papers ws010704, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
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