Luc, Bauwens; J.V.K., ROMBOUTS - Institut de Recherche Économique et Sociale (IRES), … - 2005
We estimate by Bayesian inference the mixed conditional heteroskedasticity model of (Haas, Mittnik and Paolelella 2004a). We construct a Gibbs sampler algorithm to compute posterior and predictive densities. The number of mixture components is selected by the marginal likelihood criterion. We...