EconPapers    
Economics at your fingertips  
 

Bayesian inference for the mixed conditional heteroskedasticity model

Luc Bauwens () and Jeroen Rombouts ()

Econometrics Journal, 2007, vol. 10, issue 2, pages 408-425

Abstract: We estimate by Bayesian inference the mixed conditional heteroskedasticity model of Haas et al. (2004a Journal of Financial Econometrics 2, 211--50). We construct a Gibbs sampler algorithm to compute posterior and predictive densities. The number of mixture components is selected by the marginal likelihood criterion. We apply the model to the SP500 daily returns. Copyright Royal Economic Society 2007

Date: 2007
References: Add references at CitEc
Citations View citations in EconPapers (10) Track citations by RSS feed

Downloads: (external link)
http://www.blackwell-synergy.com/doi/abs/10.1111/j.1368-423X.2007.00213.x link to full text (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Bayesian inference for the mixed conditional heteroskedasticity model (2006) Downloads
Working Paper: Bayesian inference for the mixed conditional heteroskedasticity model (2005) Downloads
Working Paper: Bayesian inference for the mixed conditional heteroskedasticity model (2005) Downloads
Working Paper: Bayesian inference for the mixed conditional heteroskedasticity model Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:ect:emjrnl:v:10:y:2007:i:2:p:408-425

Ordering information: This journal article can be ordered from
http://www.ectj.org

Access Statistics for this article

Econometrics Journal is currently edited by Richard J. Smith, Oliver Linton, Pierre Perron, Jaap Abbring and Marius Ooms

More articles in Econometrics Journal from Royal Economic Society Contact information at EDIRC.
Series data maintained by Wiley-Blackwell Digital Licensing ().

 
Page updated 2016-12-27
Handle: RePEc:ect:emjrnl:v:10:y:2007:i:2:p:408-425