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Efficient Bayesian estimation and combination of GARCH-type models
Ardia, David; Hoogerheide, Lennart F. - 2010 - This version: January 22, 2010
This paper proposes an up-to-date review of estimation strategies available for the Bayesian inference of GARCH … empirical application to S&P index log-returns. Several non-nested GARCH-type models are estimated and combined to predict the …
Persistent link: https://www.econbiz.de/10011380465
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Bayesian unit root test in double threshold heteroskedastic models
Chen, Cathy W. S.; Chen, Shu-yu; Lee, Sangyeol - In: Computational economics 42 (2013) 4, pp. 471-490
Persistent link: https://www.econbiz.de/10010249863
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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 the volatility of returns on commodities: an application and empirical comparison of GARCH and SV models
Fernández Prada Saucedo, Jean Pierre; Rodriguez, Gabriel - 2020
Persistent link: https://www.econbiz.de/10012435636
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Regime changes in Bitcoin GARCH volatility dynamics
Ardia, David; Bluteau, Keven; Rüede, Maxime - In: Finance research letters 29 (2019), pp. 266-271
Persistent link: https://www.econbiz.de/10012419095
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Measuring the effects of inflation and inflation uncertainty on output growth in the Central and Eastern European countries
Živkov, Dejan; Kovačević, Jelena; … - In: Baltic journal of economics 20 (2020) 2, pp. 218-242
Countries. Inflation uncertainty series are created examining several GARCH models in combination with three different …
Persistent link: https://www.econbiz.de/10012487908
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Importance sampling from posterior distributions using copula-like approximations
Dellaportas, Petros; Tsionas, Efthymios G. - In: Journal of econometrics 210 (2019) 1, pp. 45-57
Persistent link: https://www.econbiz.de/10012303370
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Markov switching GARCH models for Bayesian hedging on energy futures markets
Billio, Monica; Casarin, Roberto; Osuntuyi, Anthony - 2014
Persistent link: https://www.econbiz.de/10011629426
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Bayesian predictive distributions of oil returns using mixed data sampling volatility models
Virbickaite, Audrone; Nguyen, Hoang; Minh-Ngoc Tran - 2023
such as Generalized Autoregressive Conditional Heteroskedastic (GARCH), Generalized Autoregressive Score (GAS), and … inclusion of exogenous variables is beneficial for GARCH-type models while offering only a marginal improvement for GAS and SV …
Persistent link: https://www.econbiz.de/10014252427
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How oil price and exchange rate affect stock price in China using Bayesian Quantile_on_Quantile with GARCH approach
Chang, Hao Wen; Chang, Tsangyao - In: The North American journal of economics and finance : a … 64 (2023), pp. 1-10
Persistent link: https://www.econbiz.de/10014247010