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2. THE VOLATILITY OF THE WON-DOLLAR EXCHANGE RATE DURING THE 2008-9 CRISIS. (2012). Yoo, Byoung Hark ; SHIN, HYUN KOOK .
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4. Efficient Bayesian estimation and combination of GARCH-type models. (2010). Ardia, David ; Hoogerheide, Lennart F..
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5. Robustness of the risk-return relationship in the U.S. stock market. (2008). Luoto, Jani ; Lanne, Markku.
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6. Robustness of the Risk-Return Relationship in the U.S. Stock Market. (2007). Luoto, Jani ; Lanne, Markku.
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7. A comparison of Bayesian model selection based on MCMC with an application to GARCH-type models. (2006). Miazhynskaia, Tatiana ; Dorffner, Georg.
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9. Bayesian testing for non-linearity in volatility modeling. (2006). Miazhynskaia, Tatiana ; Fruhwirth-Schnatter, Sylvia ; Dorffner, Georg.
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1. Best Subset Selection for Double-Threshold-Variable Autoregressive Moving-Average Models: The Bayesian Approach. (2022). Zheng, Xiaobing ; Xia, Qiang ; Liang, Kun ; Zhang, Dabin.
   In: Computational Economics.
   RePEc:kap:compec:v:59:y:2022:i:3:d:10.1007_s10614-021-10124-7.

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2. Bayesian Analysis of Realized Matrix-Exponential GARCH Models. (2022). Asai, Manabu ; McAleer, Michael.
   In: Computational Economics.
   RePEc:kap:compec:v:59:y:2022:i:1:d:10.1007_s10614-020-10074-6.

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3. Markov switching asymmetric GARCH model: stability and forecasting. (2020). Rezakhah, S ; Alizadeh, S H ; Alemohammad, N.
   In: Statistical Papers.
   RePEc:spr:stpapr:v:61:y:2020:i:3:d:10.1007_s00362-018-0992-2.

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4. Parsimonious Heterogeneous ARCH Models for High Frequency Modeling. (2020). Morettin, Pedro Alberto ; Ruilova, Juan Carlos.
   In: JRFM.
   RePEc:gam:jjrfmx:v:13:y:2020:i:2:p:38-:d:322796.

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5. Bayesian Analysis of Realized Matrix-Exponential GARCH Models. (2018). Asai, Manabu.
   In: Tinbergen Institute Discussion Papers.
   RePEc:tin:wpaper:20180005.

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6. Bayesian MCMC analysis of periodic asymmetric power GARCH models. (2018). Touche, Nassim ; Demmouche, Nacer ; Aknouche, Abdelhakim.
   In: MPRA Paper.
   RePEc:pra:mprapa:91136.

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7. The Wall’s Impact in the Occupied West Bank: A Bayesian Approach to Poverty Dynamics Using Repeated Cross-Sections. (2018). Lubrano, Michel ; Sadeq, Tareq.
   In: Post-Print.
   RePEc:hal:journl:hal-01840598.

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8. The Wall’s Impact in the Occupied West Bank: A Bayesian Approach to Poverty Dynamics Using Repeated Cross-Sections. (2018). Lubrano, Michel ; Sadeq, Tareq.
   In: Econometrics.
   RePEc:gam:jecnmx:v:6:y:2018:i:2:p:29-:d:149744.

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9. Bayesian Analysis of Realized Matrix-Exponential GARCH Models. (2018). Asai, Manabu.
   In: Econometric Institute Research Papers.
   RePEc:ems:eureir:104259.

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10. Ajuste de modelos garch clásico y bayesiano con innovaciones t—student para el índice COLCAP. (2017). Vaca, Paola Andrea ; Espinosa, Oscar Andres.
    In: Revista de Economía del Caribe.
    RePEc:col:000382:017172.

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11. Ajuste de modelos garch clásico y bayesiano con innovaciones t—student para el índice COLCAP. (2017). Espinosa Acuña, Oscar ; Vaca, Paola Andrea.
    In: Revista de Economía del Caribe.
    RePEc:col:000382:017147.

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12. Modeling Financial Time Series Based on a Market Microstructure Model with Leverage Effect. (2016). Qin, Yemei ; Hui, Yan ; Peng, Hui.
    In: Discrete Dynamics in Nature and Society.
    RePEc:hin:jnddns:1580941.

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13. Income inequality decomposition using a finite mixture of log-normal distributions: A Bayesian approach. (2016). Lubrano, Michel ; Junior, Abdoul Aziz.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:100:y:2016:i:c:p:830-846.

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14. Testing causality between two vectors in multivariate GARCH models. (2015). Woźniak, Tomasz ; Woniak, Tomasz.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:31:y:2015:i:3:p:876-894.

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15. Unfolded GARCH models. (2015). Luger, Richard ; Liu, Xiaochun.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:58:y:2015:i:c:p:186-217.

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16. Detecting the Structural Breaks in GARCH Models Based on Bayesian Method: The Case of China Share Index Rate of Return. (2015). Liming, Wang ; Fei, Qiu ; Qiang, LI.
    In: Journal of Systems Science and Information.
    RePEc:bpj:jossai:v:3:y:2015:i:4:p:321-333:n:3.

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17. BAYESIAN INFERENCE METHODS FOR UNIVARIATE AND MULTIVARIATE GARCH MODELS: A SURVEY. (2015). Virbickaite, Audrone ; Galeano, Pedro ; Ausin, Concepcion M.
    In: Journal of Economic Surveys.
    RePEc:bla:jecsur:v:29:y:2015:i:1:p:76-96.

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18. Computational tools for comparing asymmetric GARCH models via Bayes factors. (2012). Ehlers, Ricardo S..
    In: Mathematics and Computers in Simulation (MATCOM).
    RePEc:eee:matcom:v:82:y:2012:i:5:p:858-867.

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19. Density prediction of stock index returns using GARCH models: Frequentist or Bayesian estimation?. (2012). Ardia, David ; Corre, Nienke ; Hoogerheide, Lennart F..
    In: Economics Letters.
    RePEc:eee:ecolet:v:116:y:2012:i:3:p:322-325.

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20. Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student’s t-distribution. (2012). Omori, Yasuhiro ; Nakajima, Jouchi.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:56:y:2012:i:11:p:3690-3704.

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21. Falling and explosive, dormant, and rising markets via multiple‐regime financial time series models. (2010). Chen, Cathy W. S. ; Gerlach, Richard H.
    In: Applied Stochastic Models in Business and Industry.
    RePEc:wly:apsmbi:v:26:y:2010:i:1:p:28-49.

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22. Markov Switching In-Mean Effect. Bayesian Analysis in Stochastic Volatility Framework. (2010). Kwiatkowski, Lukasz.
    In: Central European Journal of Economic Modelling and Econometrics.
    RePEc:psc:journl:v:1:y:2010:i:4:p:59-94.

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23. Bayesian forecasting of Value at Risk and Expected Shortfall using adaptive importance sampling. (2010). van Dijk, Herman ; Hoogerheide, Lennart.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:26:y::i:2:p:231-247.

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24. Time-varying joint distribution through copulas. (2010). Lopes, Hedibert F. ; Ausin, Concepcion M..
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:54:y:2010:i:11:p:2383-2399.

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25. Bayesian Model Selection and Forecasting in Noncausal Autoregressive Models. (2009). Luoto, Jani ; Lanne, Markku ; Luoma, Arto.
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    RePEc:pra:mprapa:23646.

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26. Bayesian analysis of stochastic volatility models with mixture-of-normal distributions. (2009). Asai, Manabu.
    In: Mathematics and Computers in Simulation (MATCOM).
    RePEc:eee:matcom:v:79:y:2009:i:8:p:2579-2596.

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27. Bayesian causal effects in quantiles: Accounting for heteroscedasticity. (2009). Chen, Cathy W. S. ; Wei, D. C. M., ; Gerlach, Richard.
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28. Markov Chain Monte Carlo on Asymmetric GARCH Model Using the Adaptive Construction Scheme. (2009). Takaishi, Tetsuya.
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29. An Adaptive Markov Chain Monte Carlo Method for GARCH Model. (2009). Takaishi, Tetsuya.
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30. EGARCH and Stochastic Volatility: Modeling Jumps and Heavy-tails for Stock Returns. (2008). Nakajima, Jouchi.
    In: IMES Discussion Paper Series.
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31. An empirical evaluation of fat-tailed distributions in modeling financial time series. (2008). Chen, Cathy W. S. ; Chang, Yi-Ping ; So, Mike K. P., ; Lee, Jen-Yu ; Chen, Cathy W. S., .
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32. Robustness of the risk-return relationship in the U.S. stock market. (2008). Luoto, Jani ; Lanne, Markku.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:5:y:2008:i:2:p:118-127.

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33. Box-Cox stochastic volatility models with heavy-tails and correlated errors. (2008). Zhang, Xibin ; King, Maxwell.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:15:y:2008:i:3:p:549-566.

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34. Volatility of stock price as predicted by patent data: An MGARCH perspective. (2008). Chow, William W. ; Fung, Michael K..
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:15:y:2008:i:1:p:64-79.

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35. Modelling nonlinearities and heavy tails via threshold normal mixture GARCH models. (2008). Vrontos, Ioannis ; Dellaportas, Petros ; Giannikis, D..
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:52:y:2008:i:3:p:1549-1571.

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36. Robustness of the Risk-Return Relationship in the U.S. Stock Market. (2007). Luoto, Jani ; Lanne, Markku.
    In: MPRA Paper.
    RePEc:pra:mprapa:3879.

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37. Forecasting volatility by means of threshold models. (2007). Márquez Cebrián, M.Dolores ; M. Pilar Muñoz, ; Acosta, Lesly M. ; Marquez, Dolores M..
    In: Journal of Forecasting.
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38. A Metropolis-in-Gibbs Sampler for Estimating Equity Market Factors. (2007). Tsiaplias, Sarantis.
    In: Melbourne Institute Working Paper Series.
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39. Bayesian estimation of the Gaussian mixture GARCH model. (2007). Galeano, Pedro ; Ausin, Maria Concepcion.
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40. Time series of count data: modeling, estimation and diagnostics. (2006). Jung, Robert ; Liesenfeld, Roman ; Kukuk, Martin.
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41. Bayesian testing for non-linearity in volatility modeling. (2006). Miazhynskaia, Tatiana ; Fruhwirth-Schnatter, Sylvia ; Dorffner, Georg.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:51:y:2006:i:3:p:2029-2042.

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42. A Bayesian approach to bandwidth selection for multivariate kernel density estimation. (2006). Zhang, Xibin ; King, Maxwell ; Hyndman, Rob.
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43. Time Series of Count Data: Modelling and Estimation. (2005). Jung, Robert ; Liesenfeld, Roman ; Kukuk, Martin.
    In: Economics Working Papers.
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44. Bayesian estimation of the gaussian mixture garch model. (2005). Galeano, Pedro ; Ausin, Maria Concepcion.
    In: DES - Working Papers. Statistics and Econometrics. WS.
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45. Box-Cox Stochastic Volatility Models with Heavy-Tails and Correlated Errors. (2004). Zhang, Xibin ; King, Maxwell.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2004-26.

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46. Bayesian estimation of smooth transition GARCH model using Gibbs sampling. (2004). Wago, Hajime.
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    RePEc:eee:matcom:v:64:y:2004:i:1:p:63-78.

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47. Bayesian comparison of bivariate ARCH-type models for the main exchange rates in Poland. (2004). Pipień, Mateusz ; Osiewalski, Jacek.
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    RePEc:eee:econom:v:123:y:2004:i:2:p:371-391.

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48. Bayesian Pricing of an European Call Option Using a GARCH Model with Asymmetries. (2004). Pipie, Mateusz ; Osiewalski, Jacek.
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49. Likelihood-Based Estimation of Latent Generalised ARCH Structures. (2002). Shephard, Neil ; Sentana, Enrique ; Fiorentini, Gabriele.
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50. Modelización de series temporales financieras. Una recopilación. (1998). Font, Begoa .
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