This paper explains how the Gibbs sampler can be used to perform Bayesian inference on GARCH models. Although the Gibbs sampler is usually based on the analytical knowledge of the full conditional posterior densities, such knowledge is not available in regression models with GARCH errors. We...

In this paper I consider social choices under uncertainty. I prove that any social choice rule that satisfies independence of irrelevant alternatives, translation invariance, and weak anonymity is consistent with ex post Bayesian utilitarianism.

The notion of disapprobation is defined. It is designed to capture some features of misspecification in a decision-theoretic framework. Moreover, it is a sample-based notion so it is well-suited for the study of misspecification in Bayesian contexts. Some elementary examples of disapprobation...