11-020/4 - Stock Index Returns' Density Prediction using GARCH Models: Frequentist or Bayesian Estimation?

• Authors
  Lennart F. Hoogerheide, Erasmus University Rotterdam; David Ardia, aeris CAPITAL; Nienke Corre
• Publication date
  January 31, 2011

• Keywords
  GARCH, Bayesian, KLIC, censored likelihood
• JEL
  C11, C52, C53, C58