A Markov-Chain Sampling Algorithm for GARCH Models
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- 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.
- David Ardia & Lennart F. Hoogerheide, 2010.
"Efficient Bayesian Estimation and Combination of GARCH-Type Models,"
Tinbergen Institute Discussion Papers
10-046/4, Tinbergen Institute.
- Ardia, David & Hoogerheide, Lennart F., 2010. "Efficient Bayesian estimation and combination of GARCH-type models," MPRA Paper 22919, University Library of Munich, Germany.
- Roberto Casarin & Monica Billio & Anthony Osuntuyi, 2014. "Markov Switching GARCH models for Bayesian Hedging on Energy Futures Markets," Working Papers 2014:07, Department of Economics, University of Venice "Ca' Foscari".
- Rodríguez Bernal, M. T. & Marín Díazaraque, Juan Miguel & Romero, Eva, 2013. "Data cloning estimation of GARCH and COGARCH models," DES - Working Papers. Statistics and Econometrics. WS ws132723, Universidad Carlos III de Madrid. Departamento de Estadística.
- Billio, Monica & Casarin, Roberto & Osuntuyi, Anthony, 2016.
"Efficient Gibbs sampling for Markov switching GARCH models,"
Computational Statistics & Data Analysis,
Elsevier, pages 37-57.
- Monica Billio & Roberto Casarin & Anthony Osuntuyi, 2012. "Efficient Gibbs Sampling for Markov Switching GARCH Models," Working Papers 2012:35, Department of Economics, University of Venice "Ca' Foscari".
- David Ardia & Lennart F. Hoogerheide, 2010. "Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations," Tinbergen Institute Discussion Papers 10-045/4, Tinbergen Institute.
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