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ARMA-GARCH models : Bayes estimation versus MLE, and Bayes non-stationarity test
Nakatsuma, Teruo; Tsurumi, Hiroki - 1996
We compare small-sample properties of Bayes estimation and maximum likelihood estimation (MLE) of ARMA-GARCH models … method of testing strict stationarity and ergodicity of the conditional variance in the GARCH(1,1) process, near epoch … depencenve (NED), and finiteness of unconditional moments of the GARCH(1,1) process by using a Markov chain Monte Carlo (MCMC …
Persistent link: https://www.econbiz.de/10011577178
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Volatility estimation using a rational GARCH model
Takaishi, Tetsuya - In: Quantitative finance and economics 2 (2018) 1, pp. 127-136
Persistent link: https://www.econbiz.de/10012137901
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Threshold models in time series analysis : some reflections
Tong, Howell - In: Journal of econometrics 189 (2015) 2, pp. 485-491
Persistent link: https://www.econbiz.de/10011504634
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Semiparametric GARCH via Bayesian model averaging
Chen, Wilson Ye; Gerlach, Richard H. - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 2, pp. 437-452
Persistent link: https://www.econbiz.de/10012499090
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Ordinal-response GARCH models for transaction data : a forecasting exercise
Dimitrakopoulos, Stefanos; Tsionas, Efthymios G. - In: International journal of forecasting 35 (2019) 4, pp. 1273-1287
Persistent link: https://www.econbiz.de/10012305278
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Estimating (Markov-Switching) VAR models without gibbs sampling : a sequential Monte Carlo approach
Bognanni, Mark; Herbst, Edward P. - 2014
Persistent link: https://www.econbiz.de/10010497164
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Bayesian estimation of the GARCH(1,1) model with student-t innovations
Ardia, David; Hoogerheide, Lennart F. - 2010
parsimonious and effective GARCH(1,1) model with Student-t innovations. The estimation procedure is fully automatic and thus avoids …This note presents the R package bayesGARCH (Ardia, 2007) which provides functions for the Bayesian estimation of the …
Persistent link: https://www.econbiz.de/10011380176
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Bayesian estimation for high-frequency volatility models in a time deformed framework
Santos, Antonio A. F. - In: Computational economics 57 (2021) 2, pp. 455-479
Persistent link: https://www.econbiz.de/10012486920
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Bayesian Analysis of Switching Arch Models
Kaufmann, Sylvia; Fruhwirth-Schnatter, Sylvia - 2004
is the constant in the variance process of the innovations that is subject to regime shifts. The joint estimation of the …
Persistent link: https://www.econbiz.de/10014115256
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Random walks and market efficiency : evidence from Indian stock market
Tripathy, Nalini Prava - In: International journal of economics and business research 6 (2013) 2, pp. 210-228
Persistent link: https://www.econbiz.de/10010351158