Bayesian Unit Root Testing in Unobserved-ARCH Models
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Publication:3085305
DOI10.1080/03610918.2010.533228zbMath1209.62037OpenAlexW1978878349MaRDI QIDQ3085305
Publication date: 31 March 2011
Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610918.2010.533228
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Cites Work
- ARCH modeling in finance. A review of the theory and empirical evidence
- Bayes inference in regression models with ARMA\((p,q)\) errors
- Generalized autoregressive conditional heteroscedasticity
- Markov chains for exploring posterior distributions. (With discussion)
- Marginal Likelihood from the Gibbs Output
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
- Likelihood-Based Estimation of Latent Generalized ARCH Structures
- Monte Carlo sampling methods using Markov chains and their applications
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