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Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk
Bauwens, Luc; Bos, Charles S.; Dijk, Herman K. van - Tinbergen Instituut - 1999
applied within a Bayesian analysisof a GARCH-mixture model which is used for the evaluation of theValue-at-Risk of the return …
Persistent link: https://www.econbiz.de/10011256462
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Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk
Bauwens, Luc; Bos, Charles; van Dijk, Herman K. - Faculteit der Economische Wetenschappen, Erasmus … - 1999
parsimony and robustness. APS is applied within a Bayesian analysis of a GARCH-mixture model which is used for the evaluation of …
Persistent link: https://www.econbiz.de/10010731811
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Marginal likelihood for Markov-switching and change-point GARCH models
Bauwens, Luc; Dufays, Arnaud; Rombouts, Jeroen V.K. - In: Journal of Econometrics 178 (2014) P3, pp. 508-522
GARCH volatility models with fixed parameters are too restrictive for long time series due to breaks in the volatility … process. Flexible alternatives are Markov-switching GARCH and change-point GARCH models. They require estimation by MCMC …
Persistent link: https://www.econbiz.de/10011052313
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A Bayesian method of change-point estimation with recurrent regimes: Application to GARCH models
Bauwens, Luc; De Backer, Bruno; Dufays, Arnaud - In: Journal of Empirical Finance 29 (2014) C, pp. 207-229
We present an estimation and forecasting method, based on a differential evolution MCMC method, for inference in GARCH …
Persistent link: https://www.econbiz.de/10011116269
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Marginal Likelihood for Markov-Switching and Change-Point GARCH Models
Bauwens, Luc; Dufays, Arnaud; Rombouts, Jeroen V.K. - Centre Interuniversitaire sur le Risque, les Politiques … - 2011
GARCH volatility models with fixed parameters are too restrictive for long time series due to breaks in the volatility … process. Flexible alternatives are Markov-switching GARCH and change-point GARCH models. They require estimation by MCMC …
Persistent link: https://www.econbiz.de/10010615163
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REGIME SWITCHING GARCH MODELS
Bauwens, Luc; Preminger, Arie; Rombouts, Jeroen V.K. - Economics Department, Ben Gurion University of the Negev - 2006
We develop univariate regime-switching GARCH (RS-GARCH) models wherein the conditional variance switches in time from … one GARCH process to another. The switching is governed by a time-varying probability, specified as a function of past …
Persistent link: https://www.econbiz.de/10011272240
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Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk
Bauwens, Luc; Bos, Charles S.; van Dijk, Herman K. - 1999
applied within a Bayesian analysisof a GARCH-mixture model which is used for the evaluation of theValue-at-Risk of the return …
Persistent link: https://www.econbiz.de/10010324702
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Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk
Bauwens, Luc; Bos, Charles S.; Dijk, Herman K. van - Tinbergen Institute - 1999
parsimony and robustness. APS is applied within a Bayesian analysis of a GARCH-mixture model which is used for the evaluation of …
Persistent link: https://www.econbiz.de/10005137171
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Theory and inference for a Markov switching Garch model.
Bauwens, Luc; Preminger, Arie; Rombouts, Jeroen V.K. - Institut d'Économie Appliquée, HEC Montréal (École … - 2007
We develop a Markov-switching GARCH model (MS-GARCH) wherein the conditional mean and variance switch in time from one … GARCH process to another. The switching is governed by a hidden Markov chain. We provide sufficient conditions for geometric …
Persistent link: https://www.econbiz.de/10005489846
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Theory and Inference for a Markov-Switching GARCH Model
Bauwens, Luc; Preminger, Arie; Rombouts, Jeroen V.K. - Centre Interuniversitaire sur le Risque, les Politiques … - 2007
We develop a Markov-switching GARCH model (MS-GARCH) wherein the conditional mean and variance switch in time from one … GARCH process to another. The switching is governed by a hidden Markov chain. We provide sufficient conditions for geometric …
Persistent link: https://www.econbiz.de/10005015271