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Markov Chain Monte Carlo on Asymmetric GARCH Model Using the Adaptive Construction Scheme
Markov Chain Monte Carlo Bayesian inference
2009/1/1
We perform Markov chain Monte Carlo simulations for a Bayesian inference of the GJR-GARCH model which is one of asymmetric GARCH models. The adaptive construction scheme is used for the
construction ...
An Adaptive Markov Chain Monte Carlo Method for GARCH Model
Chain Monte Carlo Bayesian inference GARCH model Metropolis-Hastings algorithm
2009/1/1
We propose a method to construct a proposal density for the Metropolis-Hastings algorithm in Markov Chain Monte Carlo (MCMC)simulations of the GARCH model. The proposal density is constructed adaptive...