We specify a class of non-linear and non-Gaussian models for which we estimate and forecast the conditional distributions with daily frequency. We use these forecasts to calculate VaR measures for three different equity markets (US, GB and Japan).(...)

This paper presents a comprehensive review and comparison of five computational methods for Bayesian model selection, based on MCMC simulations from posterior model parameter distributions. We apply these methods to a well-known and important class of models in financial time series analysis,...