2 papers
stat.ME2020
Bayesian nonparametric panel Markov-switching GARCH models
Roberto Casarin, Mauro Costantini, Anthony Osuntuyi
This paper introduces a new model for panel data with Markov-switching GARCH effects. The model incorporates a series-specific hidden Markov chain process that drives the GARCH par…
math.ST2012
Efficient Gibbs Sampling for Markov Switching GARCH Models
Monica Billio, Roberto Casarin, Anthony Osuntuyi
We develop efficient simulation techniques for Bayesian inference on switching GARCH models. Our contribution to existing literature is manifold. First, we discuss different multi-…