Bayesian testing for non-linearity in volatility modeling
No abstract is available for this item.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
References listed on IDEAS
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.:
- Siddhartha Chib & Edward Greenberg, 1994.
"Markov Chain Monte Carlo Simulation Methods in Econometrics,"
9408001, EconWPA, revised 24 Oct 1994.
- Chib, Siddhartha & Greenberg, Edward, 1996. "Markov Chain Monte Carlo Simulation Methods in Econometrics," Econometric Theory, Cambridge University Press, vol. 12(03), pages 409-431, August.
- Hansen, B.E., 1992.
"Autoregressive Conditional Density Estimation,"
RCER Working Papers
322, University of Rochester - Center for Economic Research (RCER).
- John Geweke, 1999.
"Using simulation methods for bayesian econometric models: inference, development,and communication,"
Taylor & Francis Journals, vol. 18(1), pages 1-73.
- John Geweke, 1998. "Using simulation methods for Bayesian econometric models: inference, development, and communication," Staff Report 249, Federal Reserve Bank of Minneapolis.
- BAUWENs, Luc & LUBRANO , Michel, 1996.
"Bayesian Inference on GARCH Models using the Gibbs Sampler,"
CORE Discussion Papers
1996027, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Luc Bauwens & Michel Lubrano, 1998. "Bayesian inference on GARCH models using the Gibbs sampler," Econometrics Journal, Royal Economic Society, vol. 1(Conferenc), pages C23-C46.
- Bauwens, L. & Lubrano, M., . "Bayesian inference on GARCH models using the Gibbs sampler," CORE Discussion Papers RP -1307, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Bauwens, L. & Lubrano, M., 1996. "Bayesian Inference on GARCH Models Using the Gibbs Sampler," G.R.E.Q.A.M. 96a21, Universite Aix-Marseille III.
- Nakatsuma, Teruo, 2000. "Bayesian analysis of ARMA-GARCH models: A Markov chain sampling approach," Journal of Econometrics, Elsevier, vol. 95(1), pages 57-69, March.
- 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.
- Tim Bollerslev, 1986.
"Generalized autoregressive conditional heteroskedasticity,"
EERI Research Paper Series
EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
- Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
- Jeremy Berkowitz & James O'Brien, 2002. "How Accurate Are Value-at-Risk Models at Commercial Banks?," Journal of Finance, American Finance Association, vol. 57(3), pages 1093-1111, 06.
- Barone-Adesi, Giovanni & Rasmussen, Henrik & Ravanelli, Claudia, 2005. "An option pricing formula for the GARCH diffusion model," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 287-310, April.
- Xekalaki, Evdokia & Degiannakis, Stavros, 2005. "Evaluating volatility forecasts in option pricing in the context of a simulated options market," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 611-629, April.
- Sangjoon Kim, Neil Shephard & Siddhartha Chib, .
"Stochastic volatility: likelihood inference and comparison with ARCH models,"
W26, revised version of W, Economics Group, Nuffield College, University of Oxford.
- Kim, Sangjoon & Shephard, Neil & Chib, Siddhartha, 1998. "Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models," Review of Economic Studies, Wiley Blackwell, vol. 65(3), pages 361-93, July.
- Sangjoon Kim & Neil Shephard & Siddhartha Chib, 1996. "Stochastic Volatility: Likelihood Inference And Comparison With Arch Models," Econometrics 9610002, EconWPA.
- Sangjoon Kim & Neil Shephard, 1994. "Stochastic volatility: likelihood inference and comparison with ARCH models," Economics Papers 3., Economics Group, Nuffield College, University of Oxford.
- F. Gonzalez Miranda & N. Burgess, 1997. "Modelling market volatilities: the neural network perspective," The European Journal of Finance, Taylor & Francis Journals, vol. 3(2), pages 137-157.
- Geweke, J, 1993. "Bayesian Treatment of the Independent Student- t Linear Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(S), pages S19-40, Suppl. De.
- Bollerslev, Tim, 1987. "A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return," The Review of Economics and Statistics, MIT Press, vol. 69(3), pages 542-47, August.
- Vrontos, I D & Dellaportas, P & Politis, D N, 2000. "Full Bayesian Inference for GARCH and EGARCH Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(2), pages 187-98, April.
- C. S. Wong & W. K. Li, 2000. "On a mixture autoregressive model," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 62(1), pages 95-115.
- Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993.
" On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks,"
Journal of Finance,
American Finance Association, vol. 48(5), pages 1779-1801, December.
- Lawrence R. Glosten & Ravi Jagannathan & David E. Runkle, 1993. "On the relation between the expected value and the volatility of the nominal excess return on stocks," Staff Report 157, Federal Reserve Bank of Minneapolis.
- Tatiana Miazhynskaia & Georg Dorffner, 2006. "A comparison of Bayesian model selection based on MCMC with an application to GARCH-type models," Statistical Papers, Springer, vol. 47(4), pages 525-549, October.
- Pascual, Lorenzo & Romo, Juan & Ruiz, Esther, 2006. "Bootstrap prediction for returns and volatilities in GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 50(9), pages 2293-2312, May.
- Sylvia Fruhwirth-Schnattaer & Sylvia Kaufmann, 2000. "Bayesian Analysis of Switching ARCH Models," Econometric Society World Congress 2000 Contributed Papers 1381, Econometric Society.
When requesting a correction, please mention this item's handle: RePEc:eee:csdana:v:51:y:2006:i:3:p:2029-2042. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.