BAUWENS, LUC; LUBRANO, MICHEL - In: Econometrics Journal 1 (1998) ConferenceIssue, pp. 23-23
This paper explains how the Gibbs sampler can be used to perform Bayesian inference on GARCH models. Although the Gibbs sampler is usually based on the analyti-cal knowledge of the full conditional posterior densities, such knowledge is not available in regression models with GARCH errors. We...