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 (07)
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- Haas, Markus & Mittnik, Stefan & Paolella, Marc S., 2002.
"Mixed normal conditional heteroskedasticity,"
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- BAUWENS, Luc & BOS, Charles S. & VAN DIJK, Herman K. & VAN OEST, Rutger D., .
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- 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.
- Bauwens, L. & Bos, C.S. & van Dijk, H.K. & van Oest, R.D., 2003. "Adaptive radial-based direction sampling; Some flexible and robust Monte Carlo integration methods," Econometric Institute Research Papers EI 2003-22, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Bollerslev, Tim & Engle, Robert F. & Nelson, Daniel B., 1986. "Arch models," Handbook of Econometrics, in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 49, pages 2959-3038 Elsevier.
- Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-70, March.
- Bauwens, Luc & Lubrano, Michel & Richard, Jean-Francois, 2000. "Bayesian Inference in Dynamic Econometric Models," OUP Catalogue, Oxford University Press, number 9780198773139, March.
- Marin, Jean-Michel & Mengersen, Kerrie & Robert, Christian P., 2005. "Bayesian Modelling and Inference on Mixtures of Distributions," Economics Papers from University Paris Dauphine 123456789/6069, Paris Dauphine University.
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