A Bayesian MCMC Algorithm for Markov Switching GARCH models
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Other versions of this item:
- Dhiman Das & B.Hark Yoo, 2004. "A Bayesian MCMC Algorithm for Markov Switching GARCH models," Econometric Society 2004 North American Summer Meetings 179, Econometric Society.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Luc Bauwens & Arie Preminger & Jeroen V. K. Rombouts, 2010.
"Theory and inference for a Markov switching GARCH model,"
Royal Economic Society, vol. 13(2), pages 218-244, July.
- Luc, BAUWENS & Arie, PREMINGER & Jeroen, ROMBOUTS, 2007. "Theory and inference for a Markov switching GARCH model," Discussion Papers (ECON - Département des Sciences Economiques) 2007033, Université catholique de Louvain, Département des Sciences Economiques.
- 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).
- 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.
More about this item
KeywordsBayesian Analysis; GARCH; Markov Switching.;
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
StatisticsAccess and download statistics
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