Ardia, David - Departement für Quantitative Wirtschaftsforschung, … - 2007
A Bayesian estimation of a regime-switching threshold asymmetric GARCH model is proposed. The specification is based on … free non-positive threshold parameters. The model aims at determining whether or not: (i) structural breaks are present … threshold parameters (locations of bad news) are similar between regimes. A novel MCMC scheme is proposed which allows for a …