A Bayesian method of change-point estimation with recurrent regimes : application to GARCH models
Luc Bauwens; Bruno De Backer; Arnaud Dufays
| Year of publication: |
2014
|
|---|---|
| Authors: | Bauwens, Luc ; De Backer, Bruno ; Dufays, Arnaud |
| Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 29.2014, p. 207-229
|
| Subject: | Bayesian inference | Structural breaks | Recurrent regimes | Marginal likelihood | GARCH | Forecasting | ARCH-Modell | ARCH model | Bayes-Statistik | Strukturbruch | Structural break | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | Prognoseverfahren | Forecasting model | Schätzung | Estimation | Markov-Kette | Markov chain |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011300484