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,"
Econometrics Journal, 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 - DÃ©partement des Sciences Economiques) 2007033, UniversitÃ© catholique de Louvain, DÃ©partement des Sciences Economiques.
- BAUWENS, Luc & PREMINGER, Arie & ROMBOUTS, Jeroen VK, 2010. "Theory and inference for a Markov switching Garch model," LIDAM Reprints CORE 2303, UniversitÃ© 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," LIDAM Discussion Papers CORE 2007055, UniversitÃ© 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.;
All these keywords.
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
StatisticsAccess and download statistics
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