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Bayesian analysis of switching ARCH models

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References

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Cited by

2014Modeling Markov Switching ARMA-GARCH Neural Networks Models and an Application to Forecasting Stock Returns53 cited
2008Financial Risk Management with Bayesian Estimation of GARCH Models: Theory and Applications53 cited
2007Theory and Inference for a Markov Switching GARCH Model41 cited
2011Marginal Likelihood for Markov-Switching and Change-Point GARCH Models36 cited
2009Shifts in Individual Parameters of a GARCH Model

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35 cited

2005A flexible prior distribution for Markov switching autoregressions with Student-t errors25 cited