Marginal likelihood for Markov-switching and change-point GARCH models
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Publication:2512618
DOI10.1016/j.jeconom.2013.08.017zbMath1293.62175OpenAlexW2788205237MaRDI QIDQ2512618
Jeroen V. K. Rombouts, Arnaud Dufays, Luc Bauwens
Publication date: 7 August 2014
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://cirano.qc.ca/files/publications/2011s-72.pdf
simulationGARCHmarginal likelihoodBayesian inferenceMarkov-switching modelparticle MCMCchange-point model
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: hypothesis testing (62M02)
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