A family of threshold nonlinear generalised autoregressive conditionally heteroscedastic models is considered, that allows smooth transitions between regimes, capturing size asymmetry via an exponential smooth transition function. A Bayesian approach is taken and an efficient adaptive sampling...

Parallel computation is a fast growing computing environment in many areas including computational Bayesian statistics. However, most of the Bayesian parallel computing have been implemented through the sequential Monte Carlo method where model parameters are updated sequentially and it is...

We simplify the implementation of some elliptical copula regression models through the normal representation. Both copula and marginal probability density functions are expressed as the scale mixtures of normals to facilitate the estimation procedure. With the fact that all elliptical...