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Bayesian inference on GARCH models using the Gibbs sampler

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  1. Woźniak, Tomasz, 2015. "Testing causality between two vectors in multivariate GARCH models," International Journal of Forecasting, Elsevier, vol. 31(3), pages 876-894.
  2. Zhongxian Men & Tony S. Wirjanto & Adam W. Kolkiewicz, 2021. "Multiscale Stochastic Volatility Model with Heavy Tails and Leverage Effects," JRFM, MDPI, vol. 14(5), pages 1-28, May.
  3. Xibin Zhang & Maxwell L. King, 2011. "Bayesian semiparametric GARCH models," Monash Econometrics and Business Statistics Working Papers 24/11, Monash University, Department of Econometrics and Business Statistics.
  4. Mathias Silva & Michel Lubrano, 2023. "Bayesian correction for missing rich using a Pareto II tail with unknown threshold: Combining EU-SILC and WID data," AMSE Working Papers 2320, Aix-Marseille School of Economics, France.
  5. Zhang, Xibin & King, Maxwell L. & Hyndman, Rob J., 2006. "A Bayesian approach to bandwidth selection for multivariate kernel density estimation," Computational Statistics & Data Analysis, Elsevier, vol. 50(11), pages 3009-3031, July.
  6. Chow, William W. & Fung, Michael K., 2008. "Volatility of stock price as predicted by patent data: An MGARCH perspective," Journal of Empirical Finance, Elsevier, vol. 15(1), pages 64-79, January.
  7. Ausin, Maria Concepcion & Galeano, Pedro, 2007. "Bayesian estimation of the Gaussian mixture GARCH model," Computational Statistics & Data Analysis, Elsevier, vol. 51(5), pages 2636-2652, February.
  8. Lanne, Markku & Luoto, Jani, 2008. "Robustness of the risk-return relationship in the U.S. stock market," Finance Research Letters, Elsevier, vol. 5(2), pages 118-127, June.
  9. Sylvia Kaufmann & Sylvia Frühwirth‐Schnatter, 2002. "Bayesian analysis of switching ARCH models," Journal of Time Series Analysis, Wiley Blackwell, vol. 23(4), pages 425-458, July.
  10. Jouchi Nakajima & Yasuhiro Omori, 2010. "Stochastic Volatility Model with Leverage and Asymmetrically Heavy-Tailed Error Using GH Skew Student's t-Distribution Models," CIRJE F-Series CIRJE-F-738, CIRJE, Faculty of Economics, University of Tokyo.
  11. Audrone Virbickaite & M. Concepción Ausín & Pedro Galeano, 2015. "Bayesian Inference Methods For Univariate And Multivariate Garch Models: A Survey," Journal of Economic Surveys, Wiley Blackwell, vol. 29(1), pages 76-96, February.
  12. Rubing Liang & Binbin Qin & Qiang Xia, 2024. "Bayesian Inference for Mixed Gaussian GARCH-Type Model by Hamiltonian Monte Carlo Algorithm," Computational Economics, Springer;Society for Computational Economics, vol. 63(1), pages 193-220, January.
  13. So, Mike K.P. & Chen, Cathy W.S. & Lee, Jen-Yu & Chang, Yi-Ping, 2008. "An empirical evaluation of fat-tailed distributions in modeling financial time series," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 77(1), pages 96-108.
  14. Manabu Asai & Michael McAleer, 2022. "Bayesian Analysis of Realized Matrix-Exponential GARCH Models," Computational Economics, Springer;Society for Computational Economics, vol. 59(1), pages 103-123, January.
  15. Tomasz Wozniak, 2012. "Granger-causal analysis of VARMA-GARCH models," Economics Working Papers ECO2012/19, European University Institute.
  16. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2006. "Volatility and Correlation Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 15, pages 777-878, Elsevier.
  17. Miazhynskaia, Tatiana & Fruhwirth-Schnatter, Sylvia & Dorffner, Georg, 2006. "Bayesian testing for non-linearity in volatility modeling," Computational Statistics & Data Analysis, Elsevier, vol. 51(3), pages 2029-2042, December.
  18. Juan Carlos Ruilova & Pedro Alberto Morettin, 2020. "Parsimonious Heterogeneous ARCH Models for High Frequency Modeling," JRFM, MDPI, vol. 13(2), pages 1-19, February.
  19. Fu, Jin-Yu & Lin, Jin-Guan & Hao, Hong-Xia, 2023. "Volatility analysis for the GARCH–Itô–Jumps model based on high-frequency and low-frequency financial data," International Journal of Forecasting, Elsevier, vol. 39(4), pages 1698-1712.
  20. Tetsuya Takaishi, 2009. "Markov Chain Monte Carlo on Asymmetric GARCH Model Using the Adaptive Construction Scheme," Papers 0909.1478, arXiv.org.
  21. BAUWENS, Luc & BOS, Charles S. & VAN DIJK, Herman K., 1999. "Adaptive polar sampling with an application to a Bayes measure of value-at-risk," LIDAM Discussion Papers CORE 1999057, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  22. Zhang, Xibin & King, Maxwell L., 2008. "Box-Cox stochastic volatility models with heavy-tails and correlated errors," Journal of Empirical Finance, Elsevier, vol. 15(3), pages 549-566, June.
  23. Lubrano, Michel, 2004. "Modélisation bayésienne non linéaire du taux d’intérêt de court terme américain : l’aide des outils non paramétriques," L'Actualité Economique, Société Canadienne de Science Economique, vol. 80(2), pages 465-499, Juin-Sept.
  24. Oleg Korenok & Stanislav Radchenko, 2005. "The smooth transition autoregressive target zone model with the Gaussian stochastic volatility and TGARCH error terms with applications," Econometrics 0508015, University Library of Munich, Germany.
  25. Pierre-Julien Trombe & Pierre Pinson & Henrik Madsen, 2012. "A General Probabilistic Forecasting Framework for Offshore Wind Power Fluctuations," Energies, MDPI, vol. 5(3), pages 1-37, March.
  26. Jacek Osiewalski & Mateusz Pipień, 2004. "Bayesian Pricing of an European Call Option Using a GARCH Model with Asymmetries," FindEcon Chapters: Forecasting Financial Markets and Economic Decision-Making, in: Władysław Milo & Piotr Wdowiński (ed.), Acta Universitatis Lodziensis. Folia Oeconomica nr 177/2004 - Forecasting and Decision-Making in Financial Markets, edition 1, volume 127, chapter 14, pages 219-238, University of Lodz.
  27. Oscar Andrés Espinosa Acuna & Paola Andrea Vaca González, 2017. "Ajuste de modelos garch clásico y bayesiano con innovaciones t—student para el índice COLCAP," Revista de Economía del Caribe 17172, Universidad del Norte.
  28. Bauwens Luc & Storti Giuseppe, 2009. "A Component GARCH Model with Time Varying Weights," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 13(2), pages 1-33, May.
  29. Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2004. "Likelihood-Based Estimation of Latent Generalized ARCH Structures," Econometrica, Econometric Society, vol. 72(5), pages 1481-1517, September.
  30. Tareq Sadeq & Michel Lubrano, 2018. "The Wall’s Impact in the Occupied West Bank: A Bayesian Approach to Poverty Dynamics Using Repeated Cross-Sections," Econometrics, MDPI, vol. 6(2), pages 1-24, May.
  31. Xibin Zhang & Maxwell L. King, 2013. "Gaussian kernel GARCH models," Monash Econometrics and Business Statistics Working Papers 19/13, Monash University, Department of Econometrics and Business Statistics.
  32. 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.
  33. M. Pilar Muñoz & M. Dolores Marquez & Lesly M. Acosta, 2007. "Forecasting volatility by means of threshold models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 26(5), pages 343-363.
  34. Asai, Manabu, 2009. "Bayesian analysis of stochastic volatility models with mixture-of-normal distributions," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(8), pages 2579-2596.
  35. Xiaobing Zheng & Kun Liang & Qiang Xia & Dabin Zhang, 2022. "Best Subset Selection for Double-Threshold-Variable Autoregressive Moving-Average Models: The Bayesian Approach," Computational Economics, Springer;Society for Computational Economics, vol. 59(3), pages 1175-1201, March.
  36. Zhongxian Men & Tony S. Wirjanto & Adam W. Kolkiewicz, 2013. "Bayesian Inference of Multiscale Stochastic Conditional Duration Models," Working Paper series 63_13, Rimini Centre for Economic Analysis.
  37. 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.
  38. Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2004. "Likelihood-Based Estimation of Latent Generalized ARCH Structures," Econometrica, Econometric Society, vol. 72(5), pages 1481-1517, 09.
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