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A Markov-Chain Sampling Algorithm for GARCH Models
Nakatsuma, Teruo - In: Studies in Nonlinear Dynamics & Econometrics 3 (1998) 2
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 used for Bayesian analysis of the GARCH model. As numerical examples …
Persistent link: https://www.econbiz.de/10014620814
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A Markov-Chain Sampling Algorithm for GARCH Models
Nakatsuma, Teruo - In: Studies in Nonlinear Dynamics & Econometrics 3 (1998) 2, pp. 107-117
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 used for Bayesian analysis of the GARCH model. As numerical examples …
Persistent link: https://www.econbiz.de/10005751406
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Adverse selection, moral hazard and the demand for Medigap insurance
Keane, Michael P.; Stavrunova, Olena - In: Journal of econometrics 190 (2016) 1, pp. 62-78
Persistent link: https://www.econbiz.de/10011591615
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New volatility models under a Bayesian perspective : a case study
Cuervo, Edilberto Cepeda; Achcar, Jorge Alberto; … - In: Economia aplicada : EA 18 (2014) 2, pp. 179-197
Persistent link: https://www.econbiz.de/10011449738
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Regime changes in Bitcoin GARCH volatility dynamics
Ardia, David; Bluteau, Keven; Rüede, Maxime - In: Finance research letters 29 (2019), pp. 266-271
Persistent link: https://www.econbiz.de/10012419095
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Importance sampling from posterior distributions using copula-like approximations
Dellaportas, Petros; Tsionas, Efthymios G. - In: Journal of econometrics 210 (2019) 1, pp. 45-57
Persistent link: https://www.econbiz.de/10012303370
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Infinite-state markov-switching for dynamic volatility
Dufays, Arnaud - In: Journal of financial econometrics : official journal of … 14 (2016) 2, pp. 418-460
Persistent link: https://www.econbiz.de/10011589021
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Markov switching GARCH models for Bayesian hedging on energy futures markets
Billio, Monica; Casarin, Roberto; Osuntuyi, Anthony - In: Energy economics 70 (2018), pp. 545-562
Persistent link: https://www.econbiz.de/10011942887
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How oil price and exchange rate affect stock price in China using Bayesian Quantile_on_Quantile with GARCH approach
Chang, Hao Wen; Chang, Tsangyao - In: The North American journal of economics and finance : a … 64 (2023), pp. 1-10
Persistent link: https://www.econbiz.de/10014247010
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Financial Risk Management with Bayesian Estimation of GARCH Models : Theory and Applications
Ardia, David (contributor) - 2008
This book presents methodologies for the Bayesian estimation of GARCH models and their application to financial risk … paradigm for inference. The next three chapters describe the estimation of the GARCH model with Normal innovations and the …
Persistent link: https://www.econbiz.de/10013520959