create a website

Bayesian Estimation of a Markov-Switching Threshold Asymmetric GARCH Model with Student-t Innovations. (2008). Ardia, David.
In: DQE Working Papers.
RePEc:fri:dqewps:wp0006.

Full description at Econpapers || Download paper

Cited: 3

Citations received by this document

Cites: 41

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Bayesian analysis of periodic asymmetric power GARCH models. (2020). Nassim, Touche ; Stefanos, Dimitrakopoulos ; Nacer, Demmouche ; Abdelhakim, Aknouche.
    In: Studies in Nonlinear Dynamics & Econometrics.
    RePEc:bpj:sndecm:v:24:y:2020:i:4:p:24:n:5.

    Full description at Econpapers || Download paper

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

    Full description at Econpapers || Download paper

  3. Efficient Bayesian Estimation and Combination of GARCH-Type Models. (2010). Ardia, David ; Hoogerheide, Lennart F..
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20100046.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Andrews, D. W. K. (1991). Heteroskedasticity and autocorrelation consistent covariance matrix estimation. Econometrica, vol. 59, pp. 817-858.

  2. Andrews, D. W. K., Monahan, J. C. (1992). An improved heteroskedasticity and autocorrelation consistent covariance matrix estimator. Econometrica, vol. 60, pp. 953-966.

  3. Ardia, D. (2008). Financial Risk Management with Bayesian Estimation of GARCH Models: Theory and Applications. Lecture Notes in Economics and Mathematical Systems, vol. 612. Heidelberg, Germany: Springer-Verlag.

  4. Berkowitz, J. (2001). Testing density forecasts, with applications to risk management. Journal of Business & Economic Statistics, vol. 19, pp. 465-474.

  5. Black, F. (1976). The pricing of commodity contracts. Journal of Financial Economics, vol. 3, pp. 167-179.

  6. Celeux, G., Forbes, F., Robert, C. P., Titterington M. (2006). Deviance information criterion for missing data models. Bayesian Analysis, vol. 1, pp. 651-706.
    Paper not yet in RePEc: Add citation now
  7. Chib, S. (1996). Calculating posterior distributions and modal estimates in Markov mixture models. Journal of Econometrics, vol. 75, pp. 79-97.

  8. Christoffersen, P. F. (1998). Evaluating interval forecasts. International Economic Review, vol. 39, pp. 841-862.

  9. Deschamps, P. J. (2006). A flexible prior distribution for Markov switching autoregressions with Student-t errors. Journal of Econometrics, vol. 133, pp. 153-190.

  10. Diebolt, J., Robert C.P. (1994). Estimation of finite mixture distributions through Bayesian sampling. Journal of the Royal Statistical Society B, vol. 56, pp. 363-375.
    Paper not yet in RePEc: Add citation now
  11. Dueker, M. J. (1997). Markov switching in GARCH processes and mean-reverting stock-market volatility. Journal of Business & Economic Statistics, vol. 15, pp. 26-34.

  12. Engle, R. F., Ng, V. K. (1993). Measuring and testing the impact of news on volatility. Journal of Finance, vol. 48, pp. 1749-1778.

  13. Fr

  14. Fr

  15. Fr
    Paper not yet in RePEc: Add citation now
  16. Gelfand, A. E., Dey, D. K. (1994). Bayesian model choice: Asymptotics and exact calculations. Journal of the Royal Statistical Society B, vol. 56, pp. 501-14.
    Paper not yet in RePEc: Add citation now
  17. Gelman, A., Rubin D. B. (1992). Inference from iterative simulation using multiple sequences. Statistical Science, vol. 7, pp. 457-472.
    Paper not yet in RePEc: Add citation now
  18. Gerlach, R. H., C. Carter, Kohn, R. (1999). Diagnostics for time series analysis. Journal of Time Series Analysis, vol. 20, pp. 309-330.

  19. Geweke, J. F. (1989). Bayesian inference in econometric models using Monte Carlo integration. Econometrica, vol. 57, pp. 1317-1339.

  20. Geweke, J. F. (1993). Bayesian treatment of the independent Student-t linear model. Journal of Applied Econometrics, vol. 8, pp. 19-40.

  21. Geweke, J. F. (2005). Contemporaneous Bayesian Econometrics and Statistics. Series in Probability and Statistics. Hoboken, New Jersey, USA: John Wiley & Sons.
    Paper not yet in RePEc: Add citation now
  22. Geweke, J. F. (2007). Interpretation and inference in mixture models: Simple MCMC works. Computational Statistics & Data Analysis, vol. 51, pp. 3529-3550.

  23. Geweke, J. F., Terui, N. (1991). Threshold autoregressive models for macroeconomic time series: A Bayesian approach. In American Statistical Association 1991 Proceedings of the Business and Economic Statistics Section, pp. 42-50.
    Paper not yet in RePEc: Add citation now
  24. Glosten, L. R., Jaganathan , R., Runkle, D. E. (1993). On the relation between the expected value and the volatility of the nominal excess return on stocks. Journal of Finance, vol. 48, pp. 1779-1801.

  25. Gray, S. F. (1996). Modeling the conditional distribution of interest rates as a regime-switching process. Journal of Financial Economics, vol. 42, 27-62.

  26. Haas, M., Mittnik, S., Paolella, M. S. (2004). A new approach to Markov-switching GARCH models. Journal of Financial Econometrics, vol. 2, pp. 493

  27. Hamilton, J. D. (1994). Time Series Analysis. Princeton, USA: Princeton University Press.
    Paper not yet in RePEc: Add citation now
  28. Hamilton, J. D., Susmel, R. (1994). Autoregressive conditional heteroskedasticity and changes in regime. Journal of Econometrics, vol. 64, pp. 307-33.

  29. Kass, R. E., Raftery, A. E. (1995). Bayes factors. Journal of the American Statistical Association, vol. 90, pp. 773-795.
    Paper not yet in RePEc: Add citation now
  30. Kaufmann, S., Fr
    Paper not yet in RePEc: Add citation now
  31. Kim, S., Shephard, N., Chib, S. (1998). Stochastic volatility: Likelihood inference and comparison with ARCH models. Review of Economic Studies, vol. 65, pp. 361-393.

  32. Klaassen, F. (2002). Improving GARCH volatility forecasts with regime-switching GARCH. Empirical Economics, vol. 27, pp. 363-394.

  33. Lamoureux, C. G., Lastrapes W. D. (1990). Persistence in variance, structural change, and the GARCH model. Journal of Business & Economic Statistics, vol. 8, pp. 225

  34. Marcucci, J. (2005). Forecasting stock market volatility with regime-switching GARCH models. Studies in Nonlinear Dynamics & Econometrics, vol. 9, pp. 1-53.

  35. Meng, X.-L., Wong, W. H. (1996). Simulating ratios of normalizing constants via a simple identity: A theoretical exploration. Statistica Sinica, vol. 6, pp. 831-860.
    Paper not yet in RePEc: Add citation now
  36. Nakatsuma, T. (2000). Bayesian analysis of ARMA-GARCH models: a Markov chain sampling approach. Journal of Econometrics, vol. 95, pp. 57-69.

  37. Perez-Quiros, G., Timmermann A. (2001). Business cycle asymmetries in stock returns: evidence from higher order moments and conditional densities. Journal of Econometrics, vol. 103, pp. 259

  38. Pesaran, M. H., Pettenuzzo, D., Timmermann, A. (2006). Forecasting time series subject to multiple structural breaks. Review of Economic Studies, vol. 73, pp. 1057

  39. R Development Core Team (2007). R: A Language and Environment for Statistical Computing. Vienna, Austria: R Foundation for Statistical Computing.
    Paper not yet in RePEc: Add citation now
  40. Rosenblatt, M. (1952). Remarks on a multivariate transformation. Annals of Mathematical Statistics, vol. 23, pp. 470-472.
    Paper not yet in RePEc: Add citation now
  41. Sentana, E. (1995). Quadratic ARCH models. The Review of Economic Studies, vol. 62, pp. 639-661.

Cocites

Documents in RePEc which have cited the same bibliography

  1. The impact of oil shocks on the Spanish economy. (2011). Montañés, Antonio ; Gómez-Loscos, Ana ; Gadea, María ; Montas, Antonio ; Gmez-Loscos, Ana .
    In: Energy Economics.
    RePEc:eee:eneeco:v:33:y:2011:i:6:p:1070-1081.

    Full description at Econpapers || Download paper

  2. Long-term memories of developed and emerging markets: Using the scaling analysis to characterize their stage of development. (2005). Dacorogna, Michel ; Di Matteo, T. ; Aste, T..
    In: Econometrics.
    RePEc:wpa:wuwpem:0503004.

    Full description at Econpapers || Download paper

  3. A Non-local Perspective on the Power Properties of the CUSUM and CUSUM of Squares Tests for Structural Change. (2005). Perron, Pierre ; Deng, Ai.
    In: Boston University - Department of Economics - Working Papers Series.
    RePEc:bos:wpaper:wp2005-047.

    Full description at Econpapers || Download paper

  4. Tests of Conditional Predictive Ability. (2003). Giacomini, Raffaella.
    In: Econometrics.
    RePEc:wpa:wuwpem:0308001.

    Full description at Econpapers || Download paper

  5. Fixed-B Asymptotics in Single Equation Cointegration Models with Endogenous Regressors. (2003). Bunzel, Helle.
    In: Staff General Research Papers Archive.
    RePEc:isu:genres:10685.

    Full description at Econpapers || Download paper

  6. Short Run and Long Run Causality in Time Series: Inference. (2003). Renault, Eric ; Pelletier, Denis ; Dufour, Jean-Marie.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2003s-61.

    Full description at Econpapers || Download paper

  7. Tests of conditional predictive ability. (2003). Giacomini, Raffaella.
    In: Boston College Working Papers in Economics.
    RePEc:boc:bocoec:572.

    Full description at Econpapers || Download paper

  8. Improved nonparametric confidence intervals in time series regressions. (2002). Wolf, Michael ; Romano, Joseph P..
    In: Economics Working Papers.
    RePEc:upf:upfgen:635.

    Full description at Econpapers || Download paper

  9. Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive?. (2002). Garcia Pascual, Antonio ; Cheung, Yin-Wong ; Chinn, Menzie.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9393.

    Full description at Econpapers || Download paper

  10. Testing for a Unit Root in Panels with Dynamic Factors. (2002). Perron, Benoit ; Moon, Hyungsik.
    In: Cahiers de recherche.
    RePEc:mtl:montde:2002-18.

    Full description at Econpapers || Download paper

  11. Efficient Regression in Time Series Partial Linear Models. (2002). Xiao, Zhijie ; Phillips, Peter ; Guo, Binbin.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1363.

    Full description at Econpapers || Download paper

  12. Dynamic Panel Estimation and Homogeneity Testing Under Cross Section Dependence. (2002). Sul, Donggyu ; Phillips, Peter.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1362.

    Full description at Econpapers || Download paper

  13. Maximum Likelihood and the Bootstrap for Nonlinear Dynamic Models. (2002). Goncalves, Silvia.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2002s-41.

    Full description at Econpapers || Download paper

  14. The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond. (2001). Valente, Giorgio ; Taylor, Mark ; Sarno, Lucio ; Clarida, Richard.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8601.

    Full description at Econpapers || Download paper

  15. Will the valuation ratios revert to their historical means? Some evidence from breakpoint tests. (2001). Wohar, Mark ; Carlson, John ; Pelz, Eduard A..
    In: Working Papers (Old Series).
    RePEc:fip:fedcwp:0113.

    Full description at Econpapers || Download paper

  16. Improved nonparametric confidence intervals in time series regressions. (2001). Wolf, Michael ; Romano, Joseph P..
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws010201.

    Full description at Econpapers || Download paper

  17. A Dynamic Analysis of the Market for Wide-Bodied Commercial Aircraft. (2000). Benkard, Lanier C..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:7710.

    Full description at Econpapers || Download paper

  18. The Pseudo-True Score Encompassing Test for Non-Nested Hypothesis. (2000). Kuan, Chung-Ming ; Chen, Yi-Ting.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:1723.

    Full description at Econpapers || Download paper

  19. One-Sided Testing for ARCH Effect Using Wavelets. (2000). Lee, Jin.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:1214.

    Full description at Econpapers || Download paper

  20. Wavelet-based Estimation for Heteroskedasticity and Autocorrelation Consistent Variance-Covariance Matrices. (2000). Hong, Yongmiao ; Lee, Jin.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:1211.

    Full description at Econpapers || Download paper

  21. Long Memory or Structural Change: Testing Method and Empirical Examination. (2000). Hsu, Chih-Chiang.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:0867.

    Full description at Econpapers || Download paper

  22. Corruption and Resource Allocation Under Chinas Dual Track System. (2000). Li, Wei.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:0179.

    Full description at Econpapers || Download paper

  23. Agency Costs, Credit Constraints and Corporate Investment. (1999). Hansen, Sten .
    In: Working Paper Series.
    RePEc:hhs:rbnkwp:0079.

    Full description at Econpapers || Download paper

  24. On the finite-sample accuracy of nonparametric resampling algorithms for economic time series. (1999). Kilian, Lutz ; Berkowitz, Jeremy ; Birgean, Ionel.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:1999-04.

    Full description at Econpapers || Download paper

  25. Emerging Markets and Trading Costs. (1999). Ghysels, Eric ; Cherkaoui, Mouna .
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:99s-04.

    Full description at Econpapers || Download paper

  26. Cyclicality and Durability: Evidence from U.S. Consumers Expediture.. (1999). Cook, Steven.
    In: Journal of Applied Economics.
    RePEc:cem:jaecon:v:2:y:1999:n:2:p:299-310.

    Full description at Econpapers || Download paper

  27. Regression-Based Tests of Predictive Ability. (1998). West, Kenneth ; McCracken, Michael.
    In: NBER Technical Working Papers.
    RePEc:nbr:nberte:0226.

    Full description at Econpapers || Download paper

  28. The Uncertain Trend in U.S. GDP. (1998). Nelson, Charles ; Murray, Chris.
    In: Discussion Papers in Economics at the University of Washington.
    RePEc:fth:washer:0074.

    Full description at Econpapers || Download paper

  29. Long-Run PPP May Not Hold After All. (1998). Engel, Charles.
    In: Discussion Papers in Economics at the University of Washington.
    RePEc:fth:washer:0050.

    Full description at Econpapers || Download paper

  30. Consistent covariance matrix estimation in probit models with autocorrelated errors. (1998). Rodrigues, Anthony ; Estrella, Arturo.
    In: Staff Reports.
    RePEc:fip:fednsr:39.

    Full description at Econpapers || Download paper

  31. A multivariate cointegration analysis of the role of energy in the U.S. macroeconomy.. (1998). Stern, David.
    In: Working Papers in Ecological Economics.
    RePEc:anu:wpieep:9803.

    Full description at Econpapers || Download paper

  32. The Uncertain Trend in U.S. GDP. (1997). Nelson, Charles ; Murray, Christian.
    In: Computational Economics.
    RePEc:wpa:wuwpco:9702001.

    Full description at Econpapers || Download paper

  33. Bootstrap Testing for Fractional Integration. (1997). Gredenhoff, Mikael P. ; Andersson, Michael K..
    In: SSE/EFI Working Paper Series in Economics and Finance.
    RePEc:hhs:hastef:0188.

    Full description at Econpapers || Download paper

  34. The determinants of UK business cycles. (1997). Scott, Andrew ; Holland, Allison .
    In: Bank of England working papers.
    RePEc:boe:boeewp:58.

    Full description at Econpapers || Download paper

  35. Time series properties of global climate variables: detection and attribution of climate change. (1997). Stern, David ; Kaufmann, Robert.
    In: Working Papers in Ecological Economics.
    RePEc:anu:wpieep:9702.

    Full description at Econpapers || Download paper

  36. The Power of Single Equation Tests for Cointegration when the Cointegrating Vector is Prespecified.. (1996). Zivot, Eric.
    In: Econometrics.
    RePEc:wpa:wuwpem:9612001.

    Full description at Econpapers || Download paper

  37. Bootstrap Methods in Econometrics: Theory and Numerical Performance. (1996). Horowitz, Joel.
    In: Econometrics.
    RePEc:wpa:wuwpem:9602009.

    Full description at Econpapers || Download paper

  38. Shortages, interest rates, and money demand in Poland, 1969-1995,. (1996). Sterken, Elmer ; Nijsse, Erwin.
    In: Working Papers.
    RePEc:wop:ccsowp:0025.

    Full description at Econpapers || Download paper

  39. Long-Run PPP May Not Hold After All. (1996). Engel, Charles.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:5646.

    Full description at Econpapers || Download paper

  40. Recent developments in bootstrapping time series. (1996). Kilian, Lutz ; Berkowitz, Jeremy.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:96-45.

    Full description at Econpapers || Download paper

  41. Unit Root Tests and the Burden of Proof. (1995). van Norden, Simon ; Amano, Robert.
    In: Econometrics.
    RePEc:wpa:wuwpem:9502005.

    Full description at Econpapers || Download paper

  42. Likelihood analysis of non-Gaussian parameter driven models. (1995). Shephard, Neil ; Pitt, Michael K.
    In: Economics Papers.
    RePEc:nuf:econwp:0015.

    Full description at Econpapers || Download paper

  43. Sampling Errors and Confidence Intervals for Order Statistics: Implementing the Family Support Act. (1995). Schmidt, Peter ; Horrace, William ; Witte, Ann Dryden .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:5387.

    Full description at Econpapers || Download paper

  44. An Analysis of the Real Interest Rate Under Regime Shifts. (1995). Perron, Pierre ; Garcia, René.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:95s-05.

    Full description at Econpapers || Download paper

  45. ASYMPTOTIC INFERENCE ABOUT PREDICTIVE ABILITY. (1994). West, Kenneth.
    In: Macroeconomics.
    RePEc:wpa:wuwpma:9410002.

    Full description at Econpapers || Download paper

  46. A Comparison of Alternative Instrumental Variables Estimators of Dynamic Linear Model. (1994). Wilcox, David ; West, Kenneth.
    In: Macroeconomics.
    RePEc:wpa:wuwpma:9410001.

    Full description at Econpapers || Download paper

  47. A Further Analysis of Exchange Rate Targeting in Canada. (1994). Wirjanto, Tony ; Amano, Robert.
    In: Econometrics.
    RePEc:wpa:wuwpem:9406001.

    Full description at Econpapers || Download paper

  48. A Further Analysis of Exchange Rate Targeting in Canada. (1994). Wirjanto, Tony ; Amano, Robert.
    In: Staff Working Papers.
    RePEc:bca:bocawp:94-2.

    Full description at Econpapers || Download paper

  49. Soft Landing of a Stock Market Bubble, An Experimental Study. (). Fischbacher, Urs ; Hens, Thorsten.
    In: IEW - Working Papers.
    RePEc:zur:iewwpx:090.

    Full description at Econpapers || Download paper

  50. Specification Tests in the Efficient Method of Moments Framework with Application to the Stochastic Volatility Models. (). Zhang, Harold ; Liu, Ming.
    In: Computing in Economics and Finance 1997.
    RePEc:sce:scecf7:93.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-09-25 19:23:13 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated August, 3 2024. Contact: Jose Manuel Barrueco.