Marginal likelihood for Markov-switching and change-point GARCH models

Luc Bauwens, Arnaud Dufays and Jeroen V.K. Rombouts

No 2533, LIDAM Reprints CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

Date: 2014-01-01
Note: In : Journal of Econometrics, 178 (Part 3), 508-522, 2014
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Related works:
Journal Article: Marginal likelihood for Markov-switching and change-point GARCH models (2014)
Working Paper: Marginal Likelihood for Markov-switching and Change-point Garch Models (2011)
Working Paper: Marginal Likelihood for Markov-Switching and Change-Point Garch Models (2011)
Working Paper: Marginal likelihood for Markov-switching and change-point GARCH models (2011)
Working Paper: Marginal Likelihood for Markov-Switching and Change-Point GARCH Models (2011)
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