Efficient Bayesian estimation and combination of GARCH-type models
Year of publication: |
2010-02-08
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Authors: | Ardia, David ; Hoogerheide, Lennart F. |
Institutions: | Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München |
Subject: | GARCH | Bayesian inference | MCMC | marginal likelihood | Bayesian model averaging | adaptive mixture of Student-t distributions | importance sampling |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Classification: | C51 - Model Construction and Estimation ; C22 - Time-Series Models ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C11 - Bayesian Analysis |
Source: |
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Efficient Bayesian estimation and combination of GARCH-type models
Ardia, David, (2010)
-
Efficient Bayesian Estimation and Combination of GARCH-Type Models
Ardia, David, (2010)
-
Efficient Bayesian Estimation and Combination of GARCH-Type Models
Ardia, David, (2010)
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Efficient Bayesian Estimation and Combination of GARCH-Type Models
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Stock Index Returns' Density Prediction using GARCH Models: Frequentist or Bayesian Estimation?
Hoogerheide, Lennart F., (2011)
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Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations
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