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Marginal Likelihood for Markov-Switching and Change-Point GARCH Models · Study

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PreprintMarginal Likelihood for Markov-Switching and Change-Point GARCH Models

Luc Bauwens2011

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Preprintgreen2011

Marginal Likelihood for Markov-Switching and Change-Point GARCH Models

Luc Bauwens · Arnaud Dufays · Jeroen V.K. Rombouts

36 citations·0/0 files stored·SSRN Electronic Journal

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Markov Chains and Monte Carlo Methods

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1994Autoregressive conditional heteroskedasticity and changes in regime 1996Modeling the conditional distribution of interest rates as a regime-switching process 2008The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes 1996Modeling volatility persistence of speculative returns: A new approach 2004A New Approach to Markov-Switching GARCH Models 2004Nonstationarities in Financial Time Series, the Long-Range Dependence, and the IGARCH Effects

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2013Marginal likelihood for Markov-switching and change-point GARCH modelsarticle · 16 shared references 2014Modeling Markov Switching ARMA-GARCH Neural Networks Models and an Application to Forecasting Stock Returnsarticle · 9 shared references 2009An Introduction to Univariate GARCH Modelschapter · 8 shared references 2008Glossary to ARCH (GARCH)preprint · 8 shared references 2008Modelling Conditional and Unconditional Heteroskedasticity with Smoothly Time-Varying Structurepreprint · 8 shared references 2009Modelling Regime‐Specific Stock Price Volatility*article · 8 shared references

Details

Year2011

Typepreprint

Published2011-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations36

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.2139/ssrn.1965660

openalex_workW2134648001

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