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10-045/4 - Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations


  • Authors
    David Ardia, University of Fribourg, Switzerland; Lennart F. Hoogerheide, Erasmus University Rotterdam
  • Publication date
    April 27, 2010
  • Keywords
    Bayesian, Markov Chain Monte Carlo, GARCH, Student-t, R software
  • JEL
    C11, C15, C22