Theory and inference for a Markov switching GARCH model
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- Luc Bauwens & Arie Preminger & Jeroen V. K. Rombouts, 2010. "Theory and inference for a Markov switching GARCH model," Econometrics Journal, Royal Economic Society, vol. 13(2), pages 218-244, July.
- Luc Bauwens & Arie Preminger & Jeroen V.K. Rombouts, 2007. "Theory and Inference for a Markov-Switching GARCH Model," Cahiers de recherche 0733, CIRPEE.
- BAUWENS, Luc & PREMINGER, Arie & ROMBOUTS, Jeroen V.K., 2007. "Theory and inference for a Markov switching GARCH model," CORE Discussion Papers 2007055, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Luc Bauwens & Arie Preminger & Jeroen V.K. Rombouts, 2007. "Theory and inference for a Markov switching Garch model," Cahiers de recherche 07-09, HEC Montréal, Institut d'économie appliquée.
- BAUWENS, Luc & PREMINGER, Arie & ROMBOUTS, Jeroen VK, 2010. "Theory and inference for a Markov switching Garch model," CORE Discussion Papers RP 2303, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
References listed on IDEAS
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More about this item
KeywordsGARCH; Markov-switching; Bayesian inference;
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
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