Ardia, David (2009). bayesGARCH: Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations in R. R package version version 1-00.04. URL http://CRAN.R-project.org/package=bayesGARCH
Ardia, David (2008). Financial Risk Management with Bayesian Estimation of GARCH Models: Theory and Application. Lecture Notes in Economics and Mathematical Systems 612. Springer-Verlag, Berlin, Germany. ISBN: 978-3-540-78656-6, e-ISBN: 978-3-540-78657-3, doi:10.1007/978-3-540-78657-3.
Ardia, David (2009). Bayesian Estimation of a Markov-Switching Threshold Asymmetric GARCH Model with Student-t Innovations. Econometrics Journal 12(1). pp.105-126.
Nakatsuma, Teruo (2000). Bayesian Analysis of ARMA-GARCH Models: A Markov Chain Sampling Approach. Journal of Econometrics 95(1), pp.57-69.
Ardia, David (2006). Bayesian Estimation of the GARCH(1,1) Model with Normal Innovations. Student 5(3-4), pp.283-298.
Corresponding BibTeX entries:
@Manual{,
title = {bayesGARCH: Bayesian Estimation of the GARCH(1,1) Model
with Student-t Innovations in R},
author = {David Ardia},
year = {2009},
note = {version 1-00.04},
url = {http://CRAN.R-project.org/package=bayesGARCH},
}
@incollection{,
title = {Financial Risk Management with Bayesian Estimation of
GARCH Models: Theory and Applications},
author = {David Ardia},
editor = {G. Fandel},
editor = {Walter Trockel},
publisher = {Springer-Verlag},
series = {Lecture Notes in Economics and Mathematical Systems},
volume = {612},
year = {2008},
note = {ISBN 978-3-540-78656-6, e-ISBN 978-3-540-78657-3, doi
10.1007/978-3-540-78657-3},
}
@Article{,
title = {Bayesian Estimation of a Markov-Switching Threshold
Asymmetric GARCH Model with Student-t Innovations},
author = {David Ardia},
journal = {Econometrics Journal},
volume = {12},
number = {1},
pages = {105--126},
year = {2009},
}
@Article{,
title = {Bayesian Analysis of ARMA-GARCH Models: A Markov Chain
Sampling Approach},
author = {Teruo Nakatsuma},
journal = {Journal of Econometrics},
volume = {95},
number = {1},
pages = {57--69},
year = {2000},
}
@Article{,
title = {Bayesian Estimation of the GARCH(1,1) Model with Normal
Innovations},
author = {David Ardia},
journal = {Student},
volume = {5},
number = {3--4},
pages = {283--298},
year = {2006},
}