Bayesian analysis of ARMA–GARCH models: A Markov chain sampling approach

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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.”
Bayesian Forecasting of Value at Risk and Expected Shortfall Using Adaptive Importance Sampling (2010, methodology): “Another alternative simulation method is to extend the approach of Nakatsuma (2000) for the case of Student-t innovations, see Ardia (2008).”
Oil price volatility and the asymmetric response of gasoline prices to oil price increases and decreases (2005, methodology): “…and it makes this measure more attractive compared to the rolling standard deviation measure.11 I use the Bayesian estimation technique developed by Nakatsuma (2000) for estimation of the GARCH model.12 9Campbell et al. (2001) use the rolling standard deviations approach to study the volatility of…”