This paper proposes an up-to-date review of estimation strategies available for the Bayesian inference of GARCH-type models. The emphasis is put on a novel efficient procedure named AdMitIS. The methodology automatically constructs a mixture of Student-t distributions as an approximation to the...

A flexible predictive density combination model is introduced for large financial data sets which allows for dynamic weight learning and model set incompleteness. Dimension reduction procedures allocate the large sets of predictive densities and combination weights to relatively small sets....