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Theory and inference for a Markov switching GARCH model

Bauwens, Luc; Preminger, Arie; Rombouts, Jeroen V. K. - In: The econometrics journal 13 (2010) 2, pp. 218-244

Persistent link: https://www.econbiz.de/10003978517

Marginal likelihood for Markov-switching and change-point GARCH models

Bauwens, Luc; Dufays, Arnaud; Rombouts, Jeroen V. K. - 2011

Persistent link: https://www.econbiz.de/10009504878

Marginal likelihood for Markov-switching and change-point GARCH models

Bauwens, Luc; Dufays, Arnaud; Rombouts, Jeroen V. K. - 2011

Persistent link: https://www.econbiz.de/10009382620

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

Theory and inference for a Markov switching GARCH model

Bauwens, Luc (contributor); Preminger, Arie (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003526672

Theory and inference for a Markov switching GARCH model

Bauwens, Luc (contributor); Preminger, Arie (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003538781

Theory and inference for a Markov switching GARCH model

Bauwens, Luc (contributor); Preminger, Arie (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003557221

Marginal Likelihood for Markov-Switching and Change-Point GARCH Models

Bauwens, Luc - 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 methods due to the path dependence problem. An unsolved...

Persistent link: https://www.econbiz.de/10013118012