Marginal likelihood for Markov-switching and change-point GARCH models
Year of publication: |
2014
|
---|---|
Authors: | Bauwens, Luc ; Dufays, Arnaud ; Rombouts, Jeroen V.K. |
Published in: |
Journal of Econometrics. - Elsevier, ISSN 0304-4076. - Vol. 178.2014, P3, p. 508-522
|
Publisher: |
Elsevier |
Subject: | Bayesian inference | Simulation | GARCH | Markov-switching model | Change-point model | Marginal likelihood | Particle MCMC |
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