Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with Student-t innovations

Econometrics Journal

Volumn 12, Issue 1, 2009, Pages 105-126

  Ardia, David ^a  

^a UNIVERSITY OF FRIBOURG   (Switzerland)

Author keywords

Asymmetry; Bayesian; GARCH; Markov switching; SMI; Threshold

Indexed keywords

EID: 70349978400     PISSN: 13684221     EISSN: 1368423X     Source Type: Journal    
DOI: 10.1111/j.1368-423X.2008.00253.x     Document Type: Article

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