Bayesian Estimation of a Markov-Switching Threshold Asymmetric GARCH Model with Student-t Innovations

By David Ardia. 2008

69 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/ba7e28d2eec53bbd3956f9e4ecd67cc497cb1122

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. David Ardia
2. Lennart F. Hoogerheide
3. H. V. Dijk

In Finance

1. David Ardia
2. Lennart F. Hoogerheide
3. H. V. Dijk

Citations in the corpus

• Financial Risk Management with Bayesian Estimation of GARCH Models (2008, background): “Note that this mistake is also present in Ardia (2009, page 125). Many thanks to Alex Finke for pointing out this error. – Page 140, Eq. 7.25: Should be 1 γ2 instead of 1 γ for the first term in the curly bracket. References – The reference Bauwens et al. (2004) should be the working paper Bauwens e”
• Long memory and regime switching: A simulation study on the Markov Regime-Switching ARFIMA model (2015, unknown): “However, as noted by Klaassen (2002), Ardia (2009) and Haas (2009), if regimes (states) are not Normal but leptokurtic, the use of within-regime normality can seriously affect the identification of the regime process.”