This paper describes a GAUSS program of a Markov-chain sampling algorithm for GARCH models proposed by Nakatsuma (1998). This algorithm allows us to generate Monte Carlo samples of parameters in a GARCH model from their joint posterior distribution. The samples obtained by this algorithm are...

In this paper, we apply a Markov mixture model to capturing complex dynamics in the cross section distribution of per capita income across countries and examining the convergence hypothesis in economic growth. A Markov mixture model is estimated by a Bayesian procedure via the Gibbs sampler....

There exist several estimators for valuing the Asian option on the arithmetic mean. Among all variance reduction estimators, the one with the control variate derived from the geometric mean has been shown by Boyle et al. (1997) to perform best so far. In this paper, a new improved control...

This paper describes a GAUSS program of a Markov-chain sampling algorithm for GARCH models proposed by Nakatsuma (1998). This algorithm allows us to generate Monte Carlo samples of parameters in a GARCH model from their joint posterior distribution. The samples obtained by this algorithm are...

Three Bayesian methods (Markov chain Monte Carlo, Laplace approximation and quadrature formula) are developed to estimate the parameters of the ARMA-GARCH model. The ARMA-GARCH model is applied to weekly foreign exchange rate data of five major currencies, and their stochastic volatilities are...

We compare small-sample properties of Bayes estimation and maximum likelihood estimation (MLE) of ARMA-GARCH models. Our Monte Carlo experiments indicate that in small sample, the Bayes estimator beats the MLE. We also develop a Bayes method of testing strict stationarity and ergodicity of the...

In 1968, 23 states barred the self-service sale of gasoline. By 1992, close to 80% of all gasoline sales nationwide were marketed through self-service, and only New Jersey and Oregon continued to ban self-service sales. This paper examines the rise of self-service gasoline and its impact on...