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

✍ Scribed by Bauwens, Luc; Dufays, Arnaud; Rombouts, Jeroen V.K.

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Estimating marginal likelihoods for mixt

✍ Sylvia Frühwirth-Schnatter 📂 Article 📅 2004 🏛 John Wiley and Sons 🌐 English ⚖ 970 KB

Theory and inference for a Markov switch

✍ Luc Bauwens; Arie Preminger; Jeroen V. K. Rombouts 📂 Article 📅 2010 🏛 John Wiley and Sons 🌐 English ⚖ 488 KB

Change Point Detection in GARCH Models f

✍ Tahmasbi, R.; Rezaei, S. 📂 Article 📅 2008 🏛 Institute of Electrical and Electronics Engineers 🌐 English ⚖ 537 KB

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✍ Cavicchioli, Maddalena 📂 Article 📅 2014 🏛 John Wiley and Sons 🌐 English ⚖ 190 KB

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✍ Chun Yip Yau; Richard A. Davis 📂 Article 📅 2012 🏛 John Wiley and Sons 🌐 English ⚖ 945 KB

A Markov regime-switching model for crud

✍ Zou, Wei; Chen, Jiahua 📂 Article 📅 2013 🏛 John Wiley and Sons 🌐 French ⚖ 691 KB