Bayesian inference and model comparison for asymmetric smooth transition heteroskedastic models

Statistics and Computing

Volumn 18, Issue 4, 2008, Pages 391-408

  Gerlach, Richard ^a   Chen, Cathy W S ^b  

^a UNIVERSITY OF SYDNEY   (Australia)

^b FENG CHIA UNIVERSITY   (Taiwan)

Author keywords

Asymmetric volatility model; Markov chain Monte Carlo method; Mixture normal; Posterior model probability; Smooth transition; Value at Risk

Indexed keywords

EID: 57849096667     PISSN: 09603174     EISSN: None     Source Type: Journal    
DOI: 10.1007/s11222-008-9063-1     Document Type: Article

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