Marginal likelihood for Markov-switching and change-point GARCH models
Year of publication: |
2011-12-07
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Authors: | BAUWENS, Luc ; DUFAYS, Arnaud ; ROMBOUTS, Jeroen V.K. |
Institutions: | Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain |
Subject: | Bayesian inference | simulation | GARCH | Markov-switching model | change-point model | marginal likelihood | particle MCMC |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series UNIVERSITE CATHOLIQUE DE LOUVAIN, Center for Operations Research and Econometrics (CORE) Number 2011013 |
Classification: | C11 - Bayesian Analysis ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C22 - Time-Series Models ; c58 |
Source: |
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Marginal likelihood for Markov-switching and change-point GARCH models
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Marginal Likelihood for Markov-switching and Change-point Garch Models
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Marginal Likelihood for Markov-Switching and Change-Point GARCH Models
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