Marginal likelihood for Markov-switching and change-point GARCH models

Journal of Econometrics

Volumn 178, Issue PART 3, 2014, Pages 508-522

  Bauwens, Luc ^a   Dufays, Arnaud ^a   Rombouts, Jeroen V K ^b  

^a UNIVERSITÉ CATHOLIQUE DE LOUVAIN   (Belgium)

^b ESSEC BUSINESS SCHOOL   (France)

Author keywords

Bayesian inference; Change point model; GARCH; Marginal likelihood; Markov switching model; Particle MCMC; Simulation

Indexed keywords

BAYESIAN NETWORKS; INFERENCE ENGINES;

BAYESIAN INFERENCE; CHANGE-POINT MODELS; GARCH; MARGINAL LIKELIHOOD; SIMULATION;

COMPUTER SIMULATION;

EID: 84889094335     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2013.08.017     Document Type: Article

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