Efficient Gibbs sampling for Markov switching GARCH models

DOI10.1016/j.csda.2014.04.011zbMath1466.62032arXiv1212.5397OpenAlexW2004716732MaRDI QIDQ1659098

Anthony Osuntuyi, Monica Billio, Roberto Casarin

Publication date: 15 August 2018

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

Full work available at URL: https://arxiv.org/abs/1212.5397

zbMATH Keywords

GARCHBayesian inferenceMarkov-switchingmultiple-try Metropolis

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (6)

Bayesian Nonparametric Panel Markov-Switching GARCH Models ⋮ Markov-switching quantile autoregression: a Gibbs sampling approach ⋮ Maximum likelihood estimation of the Markov-switching GARCH model based on a general collapsing procedure ⋮ Markov Switching GARCH Models: Filtering, Approximations and Duality ⋮ Probabilistic properties of a Markov-switching periodic GARCH process ⋮ High-frequency volatility modeling: a Markov-switching autoregressive conditional intensity model

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