Bayesian inference for the mixed conditional heteroskedasticity model
We estimate by Bayesian inference the mixed conditional heteroskedasticity model of Haas et al. (2004a Journal of Financial Econometrics 2, 211--50). 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. Copyright Royal Economic Society 2007
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Volume (Year): 10 (2007)
Issue (Month): 2 (July)
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References listed on IDEAS
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