Bayesian estimation of the Gaussian mixture GARCH model

Author:

Ausín María Concepción,Galeano Pedro

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Theory and Mathematics,Computational Mathematics,Statistics and Probability

Reference31 articles.

1. Alexander, C., Lazar, E., 2004. Normal mixture GARCH(1,1): applications to exchange rate modelling. Working paper, ISMA Center, University of Reading.

2. Bai, X., Rusell, J., Tiao, G., 2001. Beyond Merton's utopia (i): effects of non-normality and dependence on the precision of the variance estimates using high-frequency financial data. Working paper, GSB, University of Chicago.

3. Kurtosis of GARCH and stochastic volatility models with non-normal innovations;Bai;J. Econometrics,2003

4. Bayesian inference on GARCH models using Gibbs sampler;Bauwens;Econometrics J.,1998

5. Bayesian option pricing using asymmetric GARCH models;Bauwens;J. Finan. Econom.,2002

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