Bayesian inference for latent factor GARCH models

• Main Authors: Pitt, Michael K, Hall, Jamie, Kohn, Robert
• Format: Journal Article
• Language: English
• Published: 05.07.2015
• Subjects: Statistics - Methodology

Latent factor GARCH models are difficult to estimate using Bayesian methods because standard Markov chain Monte Carlo samplers produce slowly mixing and inefficient draws from the posterior distributions of the model parameters. This paper describes how to apply the particle Gibbs algorithm to estim...