Full Bayesian Inference for GARCH and EGARCH Models

By Ioannis D. Vrontos, Petros Dellaportas, Dimitris Nicolas Politis. 2000

152 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/25138fee11e389e20b202a8ab9858e2239b926a6

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1. Marco A. R. Ferreira
2. H. Migon
3. T. C. Fonseca

Citations in the corpus

• Bayesian Inference Methods for Univariate and Multivariate GARCH Models: A Survey (2014, unknown): “This approach has been also used by Müller & Pole (1998), Nakatsuma (2000) and Vrontos et al. (2000), among others.”
• Objective Bayesian analysis for the Student-t regression model (2008, background): “INTRODUCTION Many datasets exhibit heavy tail behaviour that can be well modelled with Student-t errors (Fernmndez & Steel, 1998; Lange et al., 1989; Vrontos et al., 2000; Chib et al., 2002; Jacquier et al., 2004).”