A Bayesian Analysis of Autoregressive Models with Exogenous Variables and Power-Transformed and Threshold GARCH Errors

DOI10.1080/03610926.2013.863926zbMath1320.91165OpenAlexW2147237338MaRDI QIDQ5265882

Rubing Liang, Jin-Shan Liu, Qiang Xia

Publication date: 29 July 2015

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2013.863926

zbMATH Keywords

Gibbs samplerMetropolis-Hastings algorithmBayesian inferenceARX-PTTGARCH modelstock-markets

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70) Bayesian inference (62F15)

Cites Work

• Estimation and tests for power-transformed and threshold GARCH models
• Exact predictive densities for linear models with ARCH disturbances
• Stationarity and moment structure for Box-Cox transformed threshold GARCH(1,1) processes
• A Bayesian analysis of generalized threshold autoregressive models
• Generalized autoregressive conditional heteroscedasticity
• Stationarity for a Markov-switching Box-Cox transformed threshold GARCH process
• On the tail behaviors of Box-Cox transformed threshold GARCH(1,1) process
• Bayesian Analysis of Two-Regime Threshold Autoregressive Moving Average Model with Exogenous Inputs
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Asymmetric response and interaction of U.S. and local news in financial markets
• Monte Carlo sampling methods using Markov chains and their applications
• Best Subset Selection of Autoregressive Models with Exogenous Variables and Generalized Autoregressive Conditional Heteroscedasticity Errors

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