Bayesian inference for the mixed conditional heteroskedasticity model
We estimate by Bayesian inference the mixed conditional heteroskedasticity model of (Haas, Mittnik and Paolelella 2004a). 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
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- Bollerslev, Tim, 1986.
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- Markus Haas, 2004.
"Mixed Normal Conditional Heteroskedasticity,"
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- Bauwens, Luc & Lubrano, Michel & Richard, Jean-Francois, 2000. "Bayesian Inference in Dynamic Econometric Models," OUP Catalogue, Oxford University Press, number 9780198773139.
- 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.
- 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, Luc & BOS, Charles S. & VAN DIJK, Herman K. & VAN OEST, Rutger D., "undated". "Adaptive radial-based direction sampling: some flexible and robust Monte Carlo integration methods," CORE Discussion Papers RP 1731, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- 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.
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- Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-370, March.
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