Nonstationarity in Garch Models: A Bayesian Analysis

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Nonstationarity in Garch Models: A Bayesian Analysis

Author Info

Kleibergen, F.
Van Dijk, H.K.

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Abstract

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Paper provided by Erasmus University of Rotterdam - Econometric Institute in its series Papers with number 9277-a.

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Length: 33 pages
Date of creation: 1992
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Handle: RePEc:fth:erroem:9277-a

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Article
- Kleibergen, F & Van Dijk, H K, 1993. "Non-stationarity in GARCH Models: A Bayesian Analysis," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(S), pages S41-61, Suppl. De. [Downloadable!] (restricted)

Cited by:
(explanations, 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.)

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:
- Bos, C.S. & Mahieu, R.J. & van Dijk, H.K., 1999. "Daily Exchange Rate Behaviour and Hedging of Currency Risk," Papers 9936/a, Erasmus University of Rotterdam - Econometric Institute.
- Charles S. Bos & Ronald J. Mahieu & Herman K. van Dijk, 1999. "Daily Exchange Rate Behaviour and Hedging of Currency Risk," Tinbergen Institute Discussion Papers 99-078/4, Tinbergen Institute. [Downloadable!]
- C.S. Bos & R.J. Mahieu & H.K. Van Dijk, 2000. "Daily exchange rate behaviour and hedging of currency risk," Econometric Institute Report 201, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
- C.S. Bos & R.J. Mahieu & H.K. van Dijk, 1999. "Daily exchange rate behaviour and hedging of currency risk," Econometric Institute Report 164, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
- Charles S. Bos & Ronald J. Mahieu & Herman K. van Dijk, 2000. "Daily Exchange Rate Behaviour and Hedging of Currency Risk," Econometric Society World Congress 2000 Contributed Papers 0504, Econometric Society. [Downloadable!]
- Charles S. Bos & Ronald J. Mahieu & Herman K. Van Dijk, 2000. "Daily exchange rate behaviour and hedging of currency risk," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(6), pages 671-696. [Downloadable!]
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!]
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!]
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!]
Other versions:
- K. Van Dijk & Luc Bauwens & Charles Bos, 2000. "Adaptive Polar Sampling With An Application To A Bayes Measure Of Value-At-Risk," Computing in Economics and Finance 2000 145, Society for Computational Economics.
- L. Bauwens & C.S. Bos & H.K. van Dijk, 1999. "Adaptive Polar Sampling with an application to a Bayes measure of Value-at-Risk," Econometric Institute Report 167, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
- Bauwens, L. & Bos, C.S. & Van Dijk, H.K., 1999. "Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk," Papers 9957, Catholique de Louvain - Center for Operations Research and Economics.
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!]
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!]
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!]
Other versions:
- Pieter J. Van Der Sluis, 1998. "Computationally attractive stability tests for the efficient method of moments," Econometrics Journal, Royal Economic Society, vol. 1(Conferenc), pages C203-C227.
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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