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Marginal Likelihood for Markov-switching and Change-point Garch Models
Luc, Luc; Dufays, Arnaud; Rombouts, Jeroen V.K. - School of Economics and Management, University of Aarhus - 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/10009371456
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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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Infinite-state markov-switching for dynamic volatility
Dufays, Arnaud - In: Journal of financial econometrics : official journal of … 14 (2016) 2, pp. 418-460
Persistent link: https://www.econbiz.de/10011589021
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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), pp. 207-229
Persistent link: https://www.econbiz.de/10011300484
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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) 1, pp. 508-522
Persistent link: https://www.econbiz.de/10010256919
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Modeling time-varying parameters using artificial neural networks : a GARCH illustration
Donfack, Morvan Nongni; Dufays, Arnaud - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 25 (2021) 5, pp. 311-343
Persistent link: https://www.econbiz.de/10012806535