Similar Search Results

Bayesian estimation of the GARCH(1,1) model with student-t innovations

Ardia, David; Hoogerheide, Lennart F. - 2010

parsimonious and effective GARCH(1,1) model with Student-t innovations. The estimation procedure is fully automatic and thus avoids …

Persistent link: https://www.econbiz.de/10011380176

Efficient Bayesian estimation and combination of GARCH-type models

Ardia, David; Hoogerheide, Lennart F. - 2010 - This version: January 22, 2010

This paper proposes an up-to-date review of estimation strategies available for the Bayesian inference of GARCH … empirical application to S&P index log-returns. Several non-nested GARCH-type models are estimated and combined to predict the …

Persistent link: https://www.econbiz.de/10011380465

Adaptive mixture of student-t distributions as a flexible Candidate distribution for efficient simulation

Ardia, David; Hoogerheide, Lennart F.; Dijk, Herman K. van - 2008 - Version of this paper: December 12, 2008

This paper presents the R package AdMit which provides functions to approximate and sample from a certain target distribution given only a kernel of the target density function. The core algorithm consists in the function AdMit which fits an adaptive mixture of Student-t distributions to the...

Persistent link: https://www.econbiz.de/10011376537