A Bayesian method of change-point estimation with recurrent regimes: application to GARCH models

Luc Bauwens, Bruno De Backer () and Arnaud Dufays

No 2641, LIDAM Reprints CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

Date: 2014-01-01
Note: In : Journal of Empirical Finance, 29, 207-229, 2014
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Journal Article: A Bayesian method of change-point estimation with recurrent regimes: Application to GARCH models (2014)
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