Marginal likelihood for Markov-switching and change-point GARCH models
Luc Bauwens; Arnaud Dufays; Jeroen V. K. Rombouts
| Year of publication: |
2014
|
|---|---|
| Authors: | Bauwens, Luc ; Dufays, Arnaud ; Rombouts, Jeroen V. K. |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 178.2014, 1, p. 508-522
|
| Subject: | Bayesian inference | Simulation | GARCH | Markov-switching model | Change-point model | Marginal likelihood | Particle MCMC | ARCH-Modell | ARCH model | Markov-Kette | Markov chain | Bayes-Statistik | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Monte-Carlo-Simulation | Monte Carlo simulation |
| 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://www.econbiz.de/10010256919