A Markov-Chain Sampling Algorithm for GARCH Models

DOI10.2202/1558-3708.1043zbMath1078.91569OpenAlexW2004847106MaRDI QIDQ3368228

Teruo Nakatsuma

Publication date: 27 January 2006

Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.579.6831

zbMATH Keywords

GARCHMetropolis-Hastings algorithmBayesian inferenceMarkov-chain Monte Carlo

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Related Items (3)

Bayesian Nonparametric Panel Markov-Switching GARCH Models ⋮ Bayesian semiparametric double autoregressive modeling ⋮ Data cloning estimation of GARCH and COGARCH models

Uses Software

• GAUSS
• SIMANN

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