Similar Search Results

Choosing between different time-varying volatility models for structural vector autoregressive analysis

Lütkepohl, Helmut; Schlaak, Thore - 2017 - This version: July 4, 2017

The performance of information criteria and tests for residual heteroskedasticity for choosing between different models for time-varying volatility in the context of structural vector autoregressive analysis is investigated. Although it can be difficult to find the true volatility model with the...

Persistent link: https://www.econbiz.de/10011669909

Essays on structural vector autoregressions identified through time-varying volatility

Schlaak, Thore - 2019

Persistent link: https://www.econbiz.de/10012173758

A comparison of Bayesian model selection based on MCMC with an application to GARCH-type models

Miazhynskaia, Tatiana; Dorffner, Georg - In: Statistical papers 47 (2006) 4, pp. 525-549

Persistent link: https://www.econbiz.de/10003344726

Bayesian semiparametric GARCH Models

Zhang, Xibin; King, Maxwell L. - 2011

This paper aims to investigate a Bayesian sampling approach to parameter estimation in the semiparametric GARCH model … GARCH models with any parametric assumption of the error density for the purpose of error-density based inference such as … value-at-risk (VaR) estimation. The contribution of the paper is to construct the likelihood and posterior of model and …