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Bayesian inference for the mixed conditional heteroskedasticity model

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Author Info
Luc, Bauwens (UNIVERSITE CATHOLIQUE DE LOUVAIN, Center for Operations Research and Econometrics (CORE))
J.V.K., ROMBOUTS

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Abstract

We estimate by Bayesian inference the mixed conditional heteroskedasticity model of (Haas, Mittnik and Paolelella 2004a). We construct a Gibbs sampler algorithm to compute posterior and predictive densities. The number of mixture components is selected by the marginal likelihood criterion. We apply the model to the SP500 daily returns

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Paper provided by Université catholique de Louvain, Département des Sciences Economiques in its series Université catholique de Louvain, Département des Sciences Economiques Working Paper with number 2005058.

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Length: 26
Date of creation: 01 Dec 2005
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Handle: RePEc:ctl:louvec:2005058

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Related research
Keywords: Finite mixure ML estimation Bayesian inference Value at Risk

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Find related papers by JEL classification:
C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Bayesian Analysis
C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Markus Haas, 2004. "Mixed Normal Conditional Heteroskedasticity," Journal of Financial Econometrics, Oxford University Press, vol. 2(2), pages 211-250. [Downloadable!] (restricted)
  2. Bauwens, Luc & Bos, Charles S. & van Dijk, Herman K. & van Oest, Rutger D., 2004. "Adaptive radial-based direction sampling: some flexible and robust Monte Carlo integration methods," Journal of Econometrics, Elsevier, vol. 123(2), pages 201-225, December. [Downloadable!] (restricted)
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  3. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-70, March. [Downloadable!] (restricted)
  4. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April. [Downloadable!] (restricted)
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  1. Luc, BAUWENS & Arie, PREMINGER & Jeroen, ROMBOUTS, 2006. "Regime switching GARCH models," Université catholique de Louvain, Département des Sciences Economiques Working Paper 2006006, Université catholique de Louvain, Département des Sciences Economiques. [Downloadable!]
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