Bayesian estimation of the Gaussian mixture GARCH model

Keywords

Autoregressive conditional heteroskedasticity, Gibbs sampling, Volatility clustering, Autoregressive model, Financial models with long-tailed distributions and volatility clustering

References

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• Bayesian estimation of a dynamic conditional correlation model with multivariate Skew-Slash innovationsMichael P. Wiper, Pedro Galeano, Cristina García de la Fuente — 2014
• The Applications of Mixtures of Normal Distributions in Empirical Finance: A Selected SurveyDinghai Xu — 2009
• A new approach to calculate and forecast dynamic conditional correlation : the use of a multivariate heteroskedastic mixture modelCheng-Wei Lu — 2010
• Evaluating asymmetric effect in skewness and kurtosisSonia Benito Muela — 2014
• COMPLETE BAYESIAN ANALYSIS OF SOME MIXTURE TIME SERIES MODELSS. Hossain — 2012
• Stochastic models with heteroskedasticity: a Bayesian approach for Ibovespa returnsSandra Cristina de Oliveira, Marinho G. Andrade — 2013
• Bayesian analysis of heavy-tailed market microstructure model and its application in stock marketsYanhui Xi, Hui Peng, Yemei Qin — 2015
• Chasing Volatility: A Persistent Multiplicative Error Model with JumpsMassimiliano Caporin, Eduardo Rossi, Paolo Santucci de Magistris — 2014
• Modelling the Covariance Dynamics of Multivariate Financial Time SeriesBrent G. Hudson — 2011
• Evaluating the performance of the skewed distributions to forecast Value at Risk in the Global Financial CrisisPilar Abad Romero, Sonia Benito Muela, M.A. Sánchez-Granero — 2013
• Modelagem de volatilidade via modelos GARCH com erros assimétricos: abordagem BayesianaJosé Augusto Fioruci — 2012
• Inference for Box–Cox Transformed Threshold GARCH Models with Nuisance ParametersSangyeol Lee, Taewook Lee — 2012
• Bayesian option pricing using mixed normal heteroskedasticity modelsJeroen V.K. Rombouts, Lars Stentoft — 2014
• A Class of Adaptive EM-Based Importance Sampling Algorithms for Efficient and Robust Posterior and Predictive SimulationLennart F. Hoogerheide, Anne Opschoor, Herman K. van Dijk — 2011
• A Bayesian non-parametric approach to asymmetric dynamic conditional correlation model with application to portfolio selectionAudronė Virbickaitė, M. Concepción Ausín, Pedro Galeano — 2013
• Value-at-risk forecasting based on Gaussian mixture ARMA–GARCH modelSangyeol Lee, Taewook Lee — 2011
• Heavy-tailed mixture GARCH volatility modeling and Value-at-Risk estimationNikolay Y. Nikolaev, Georgi N. Boshnakov, Robert Zimmer — 2013
• A semiparametric Bayesian approach to the analysis of financial time series with applications to value at risk estimationM. Concepción Ausín, Pedro Galeano, Pulak Ghosh — 2014
• A new algorithm for maximum likelihood estimation in normal scale-mixture generalized autoregressive conditional heteroskedastic modelsByungtae Seo, Taewook Lee — 2015
• Mixture periodic autoregressive conditional heteroskedastic modelsMohamed Bentarzi, Fayçal Hamdi — 2008

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