Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations in R
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References listed on IDEAS
- Deschamps, Philippe J., 2006.
"A flexible prior distribution for Markov switching autoregressions with Student-t errors,"
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- Deschamps, Philippe J., 2004. "A flexible prior distribution for Markov switching autoregressions with Student-t errors," DQE Working Papers 2, Department of Quantitative Economics, University of Freiburg/Fribourg Switzerland, revised 12 Nov 2011.
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- Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- David Ardia & Lennart F. Hoogerheide, 2010. "Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations," Tinbergen Institute Discussion Papers 10-045/4, Tinbergen Institute.
- Ardia, David & Hoogerheide, Lennart F., 2010.
"Efficient Bayesian estimation and combination of GARCH-type models,"
22919, University Library of Munich, Germany.
- David Ardia & Lennart F. Hoogerheide, 2010. "Efficient Bayesian Estimation and Combination of GARCH-Type Models," Tinbergen Institute Discussion Papers 10-046/4, Tinbergen Institute.
- Morgan Kelly & Cormac Ó Gráda, 2012. "Change points and temporal dependence in reconstructions of annual temperature : did Europe experience a little Ice Age?," Working Papers 201210, School of Economics, University College Dublin.
- Shi, Yanlin & Feng, Lingbing, 2016. "A discussion on the innovation distribution of the Markov regime-switching GARCH model," Economic Modelling, Elsevier, vol. 53(C), pages 278-288.
More about this item
KeywordsGARCH; Bayesian; MCMC; Student-t; R software;
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
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