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This chapter proposes an up-to-date review of estimation strategies available for the Bayesian inference of GARCH … empirical application to S&P index log-returns where non-nested GARCH-type models are estimated and combined to predict the …
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In this paper, we propose a new approach to constructing confidence sets for the timing of structural breaks. This approach involves using Markov-chain Monte Carlo methods to simulate marginal “fiducial” distributions of break dates from the likelihood function. We compare our proposed...
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