Local non-stationarity test in mean for Markov switching GARCH models: an approximate Bayesian approach

DOI10.1007/s00180-015-0624-4zbMath1342.65025OpenAlexW2159157381MaRDI QIDQ736570

Cathy W. S. Chen, Sangyeol Lee, Shu-Yu Chen

Publication date: 4 August 2016

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00180-015-0624-4

zbMATH Keywords

GARCHMCMC methodsmean reversionunit rootsmixture priorposterior odds ratio

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15)

Related Items (3)

Statistical inference for mixture GARCH models with financial application ⋮ A powerful wild bootstrap diagnosis of panel unit roots under linear trends and time-varying volatility ⋮ Maximum likelihood estimation of the Markov-switching GARCH model based on a general collapsing procedure

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