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Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations

https://doi.org/10.32614/rj-2010-014
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1002/jae.3950080504openalex-snapshot
Bayesian treatment of the independent student-t linear model
inferredcites →https://doi.org/10.1007/978-3-540-78657-3openalex-snapshot
Financial Risk Management with Bayesian Estimation of GARCH Models: Theory and Applications
inferredcites →https://doi.org/10.1016/0304-4076(86)90063-1openalex-snapshot
Generalized autoregressive conditional heteroskedasticity
inferredcites →https://doi.org/10.1016/j.jeconom.2005.03.012openalex-snapshot
A flexible prior distribution for Markov switching autoregressions with Student-t errors
inferredcites →https://doi.org/10.1057/978-1-349-95121-5_2754-1openalex-snapshot
Bayesian Econometrics
inferredcites →https://doi.org/10.1063/1.1699114openalex-snapshot
Equation of State Calculations by Fast Computing Machines
inferredcites →https://doi.org/10.1080/01621459.1992.10475289openalex-snapshot
Facilitating the Gibbs Sampler: The Gibbs Stopper and the Griddy-Gibbs Sampler
inferredcites →https://doi.org/10.1093/biomet/57.1.97openalex-snapshot
Monte Carlo sampling methods using Markov chains and their applications
inferredcites →https://doi.org/10.1093/oso/9780198509936.003.0015openalex-snapshot
Monte Carlo sampling methods using Markov chains and their applications
inferredcites →https://doi.org/10.1198/016214504000001132openalex-snapshot
Getting It Right
inferredcites →https://doi.org/10.1214/ss/1177011136openalex-snapshot
Inference from Iterative Simulation Using Multiple Sequences
inferredcites →https://doi.org/10.2202/1558-3708.1043openalex-snapshot
A Markov-Chain Sampling Algorithm for GARCH Models
inferredcites →https://doi.org/10.2307/1912773openalex-snapshot
Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
inferredcites →https://doi.org/10.32614/cran.package.codaopenalex-snapshot
coda: Output Analysis and Diagnostics for MCMC
inferredcites →https://doi.org/10.32614/cran.package.fgarchopenalex-snapshot
fGarch: Rmetrics - Autoregressive Conditional Heteroskedastic Modelling
inferredcites →https://doi.org/10.32614/cran.package.tseriesopenalex-snapshot
tseries: Time Series Analysis and Computational Finance

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

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Risk Analysis
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Appendix A: Package Overview
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Models for time series
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Package overview
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Modelling volatility
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A Bayesian Asymmetric Approach to Modeling Volatility on Portfolios with Many Assets
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Bayesian Analysis for a Threshold Double Autoregressive Model With Explanatory Variables
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Bayesian Estimation of GARCH(1,1) Model Using Tierney-Kadane’s Approximation
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Stochastic variational inference for GARCH models
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A robust Bayesian dynamic linear model for Latin-American economic time series: “the Mexico and Puerto Rico cases”
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In-sample confidence bands and out-of-sample forecast bands for time-varying parameters: Some comments
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Time-varying correlation between agricultural commodity and energy price dynamics with Bayesian multivariate DCC-GARCH models
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Bayesian influence diagnostics using normalized functional Bregman divergence
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Flexible weighted dirichlet process mixture modelling and evaluation to address the problem of forecasting return distribution
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Model Selection and Averaging in Financial Risk Management
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Forecasting robust value-at-risk estimates: evidence from UK banks
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Value at Risk of the Exchange Rate in Southeast ASEAN-3 Based on Bayesian Markov-Switching GARCH Approach
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A Class of Non-Linear AGARCH(1,1) Model in Modeling Volatility of Returns
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The dependence structure and portfolio risk of Malaysia's foreign exchange rates: the Bayesian GARCH–EVT–copula model
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Stochastic programming for valuing energy storage providing primary frequency control
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Big Data Analysis for Log Returns of Singapore Exchange Ltd (SGX: S68. SI)
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Adaptive Step Size Selection for Hessian‐Based Manifold Langevin Samplers
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Bayesian inference for a mixture double autoregressive model
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Application of VAR Models to Assess the Impact of Budget Expenditures on GDP Dynamics
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A influência das commodities no Ibovespa: em busca de um modelo preditivo
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Change points and temporal dependence in reconstructions of annual temperature: Did Europe experience a Little Ice Age?
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Approximate Bayesian Inference in Semiparametric Copula Models
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Evaluating the Fitting Performance of AGARCH(1,1), NAGARCH(1,1), and VGARCH(1,1) Models
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Model Regresi untuk Return Aset dengan Volatilitas Mengikuti Model GARCH(1,1) Berdistribusi Epsilon-Skew Normal dan Student-t
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Refining value-at-risk estimates using a Bayesian Markov-switching GJR-GARCH copula-EVT model
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Estimación bayesiana de un Modelo Garch-M Bivariado
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A influência das commodities no Ibovespa: em busca de um modelo preditivo
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GARCH Models under Power Transformed Returns: Empirical Evidence from International Stock Indices
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Markov-Switching GARCH Models in R : The MSGARCH Package
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Volatility Fitting Performance of QGARCH(1,1) Model with Student-t, GED, and SGED Distributions
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Volatilitas Kurs dan Saham Mengikuti Model EGARCH(1,1) Berdistribusi Versi Skew Normal dan Student-t
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bayesGARCH: Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations
inferred← citeshttps://doi.org/10.3390/agriculture13101973openalex-snapshot
Analysis of Exogenous Factors to Thailand Coffee Price Volatility: Using Multiple Exogenous Bayesian GARCH-X Model
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Relationships among the Fossil Fuel and Financial Markets during the COVID-19 Pandemic: Evidence from Bayesian DCC-MGARCH Models
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Evaluating Probabilistic Forecasts with scoringRules
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Bayesian influence diagnostics using normalizing functional Bregman divergence
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Volatility Model Choice for Sub-Saharan Frontier Equity Markets - A Markov Regime Switching Bayesian Approach
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Compare Canonical stochastic volatility model of focal MSGJR-GARCH to measure the volatility of stock returns and calculating VaR
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Bayesian analysis of financial volatilities addressing long-memory, conditional heteroscedasticity and skewed error distribution
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A Correcting Note on Forecasting Conditional Variance Using ARIMA vs. GARCH Model
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Modeling Volatility Using Bayesian GARCH with Student-t and Generalized Error Distributions: A Case Study of Bitcoin
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Approximate Bayesian Computation for Copula Estimation
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A Comparison between Bayesian and Frequentist methods in Financial Volatility with Applications to Foreign Exchange Rates
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Contributions to Bayesian Computing for Complex Models
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