10-046/4 - Efficient Bayesian Estimation and Combination of GARCH-Type Models

• Authors
  David Ardia, aeris CAPITAL AG, and University of Fribourg, Switzerland; Lennart F. Hoogerheide, Erasmus University Rotterdam
• Publication date
  April 27, 2010

• Keywords
  GARCH, marginal likelihood, Bayesian model averaging, adaptive mixture of Student-t distributions, importance sampling
• JEL
  C11, C15, C22