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

Luc Bauwens, Bruno De Backer and Arnaud Dufays ()
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Arnaud Dufays: CORE | LIDAM - Center for Operations Research and Econometrics [UCLouvain] - UCLouvain - Université Catholique de Louvain = Catholic University of Louvain

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Date: 2014-12
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Published in Journal of Empirical Finance, 2014, 29, pp.207-229. ⟨10.1016/j.jempfin.2014.06.008⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-05783282

DOI: 10.1016/j.jempfin.2014.06.008

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