Simulation-based sequential analysis of Markov switching stochastic volatility models

DOI10.1016/j.csda.2006.07.019zbMath1162.62426OpenAlexW2170621196MaRDI QIDQ1020116

Carlos Marinho Carvalho, Hedibert Freitas Lopes

Publication date: 29 May 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2006.07.019

zbMATH Keywords

Markov chain Monte CarloBayes factorparticle filterssequential analysisstochastic volatility modelsBayesian time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Economic time series analysis (91B84) Markov processes (60J99)

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