Marginal likelihood calculation for the Gelfand–Dey and Chib methods
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References listed on IDEAS
- Chun Liu & John M. Maheu, 2008.
"Are There Structural Breaks in Realized Volatility?,"
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More about this item
KeywordsModel comparison; Structural break; Heterogeneous autoregressive model; Bayesian estimation;
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
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