Bauwens, Luc; Dufays, Arnaud; Rombouts, Jeroen V.K. - Centre Interuniversitaire sur le Risque, les Politiques … - 2011
process. Flexible alternatives are Markov-switching GARCH and change-point GARCH models. They require estimation by MCMC … essential for determining the number of regimes or change-points. We solve the problem by using particle MCMC, a technique …