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Semiparametric GARCH via Bayesian Model Averaging (Q6617768)

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scientific article; zbMATH DE number 7925217

Language	Label	Description	Also known as
English	Semiparametric GARCH via Bayesian Model Averaging	scientific article; zbMATH DE number 7925217

Statements

scholarly article

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Semiparametric GARCH via Bayesian Model Averaging (English)

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Richard H. Gerlach

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Journal of Business and Economic Statistics

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publication date

11 October 2024

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MaRDI profile type

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Modelling volatility by variance decomposition

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The Distribution of Realized Exchange Rate Volatility

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Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with Student-<i>t</i> innovations

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Splines for Financial Volatility

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Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise

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Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models

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Bayesian inference on GARCH models using the Gibbs sampler

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Semiparametric score driven volatility models

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Generalized autoregressive conditional heteroscedasticity

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An algorithm for nonparametric GARCH modelling.

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ESTIMATION IN AN ADDITIVE MODEL WHEN THE COMPONENTS ARE LINKED PARAMETRICALLY

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Deviance information criteria for missing data models

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Bayesian Forecasting for Financial Risk Management, Pre and Post the Global Financial Crisis

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Bayesian value-at-risk and expected shortfall forecasting via the asymmetric Laplace distribution

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Realized range-based estimation of integrated variance

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Model uncertainty

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A practical guide to splines

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On Bayesian model and variable selection using MCMC

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Efficient estimation in semiparametric GARCH models

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Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

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Qualitative threshold ARCH models

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Reversible jump Markov chain Monte Carlo computation and Bayesian model determination

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Autoregressive Conditional Density Estimation

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UNIFORM CONVERGENCE RATES FOR KERNEL ESTIMATION WITH DEPENDENT DATA

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Dynamic Models for Volatility and Heavy Tails

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A Bayesian approach to relaxing parameter restrictions in multivariate GARCH models

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The NIG-S&ARCH model: a fat-tailed, stochastic, and autoregressive conditional heteroskedastic volatility model

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Deviance information criterion for latent variable models and misspecified models

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Estimating Semiparametric ARCH(oo) Models by Kernel Smoothing Methods1

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Nonparametric Estimation and Identification of Nonlinear ARCH Time Series Strong Convergence and Asymptotic Normality: Strong Convergence and Asymptotic Normality

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Bayesian Variable Selection in Linear Regression

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Conditional Heteroskedasticity in Asset Returns: A New Approach

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Optimal scaling for various Metropolis-Hastings algorithms.

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Coupling and Ergodicity of Adaptive Markov Chain Monte Carlo Algorithms

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Semiparametric Regression

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Nonparametric regression using Bayesian variable selection

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Bayesian Measures of Model Complexity and Fit

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Optimal rates of convergence for nonparametric estimators

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Semiparametric efficient adaptive estimation of asymmetric GARCH models

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Markov chains for exploring posterior distributions. (With discussion)

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Efficient semiparametric garch modeling of financial volatility

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A semiparametric GARCH model for foreign exchange volatility

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Threshold heteroskedastic models

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Identifiers

zbMATH Open document ID

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10.1080/07350015.2019.1668796

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:6617768

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