Bauwens, Luc (contributor); Preminger, Arie (contributor); … - 2007
explosive.
Concerning the estimation method, we propose a Bayesian Markov chain Monte Carlo
(MCMC) algorithm that circumvents …-Schnatter (2002) and Kaufman and Scheicher (2006). Das and Yoo
(2004) propose an MCMC algorithm for the same model (switch in the … Fabozzi (2006) who estimate by a MCMC
algorithm a Markov-switching ARMA-GARCH model. They apply their algorithm to the
data …