A stochastic volatility model with markov switching

Journal of Business and Economic Statistics

Volumn 16, Issue 2, 1998, Pages 244-253

  So, Mike Ec P ^a   Lam, K ^b   Li, W K ^c  

^a HONG KONG UNIVERSITY OF SCIENCE AND TECHNOLOGY   (Hong Kong)

^b HONG KONG BAPTIST UNIVERSITY   (Hong Kong)

^c UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

ARCH model; Bayesian inference; Data augmentation; Gibbs sampling; Monte Carlo Markov chain

Indexed keywords

EID: 0032333297     PISSN: 07350015     EISSN: 15372707     Source Type: Journal    
DOI: 10.1080/07350015.1998.10524758     Document Type: Article

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