Bayesian analysis of ARMA-GARCH models: a Markov chain sampling approach
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Publication:1971785
DOI10.1016/S0304-4076(99)00029-9zbMath0970.62014WikidataQ127919154 ScholiaQ127919154MaRDI QIDQ1971785
Publication date: 3 October 2001
Published in: Journal of Econometrics (Search for Journal in Brave)
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Numerical analysis or methods applied to Markov chains (65C40)
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Uses Software
Cites Work
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- Exact predictive densities for linear models with ARCH disturbances
- Bayes inference in regression models with ARMA\((p,q)\) errors
- Generalized autoregressive conditional heteroscedasticity
- Markov chains for exploring posterior distributions. (With discussion)
- SIMANN: A Global Optimization Algorithm using Simulated Annealing
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Bayesian Inference in Econometric Models Using Monte Carlo Integration
- Monte Carlo sampling methods using Markov chains and their applications
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