To cite 'bayesGARCH' in publications use:

Ardia, David (2011). bayesGARCH: Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations in R. R package version version 1-00.10. 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 and Hoogerheide, Lennart F. (2010). Bayesian Estimation of the GARCH(1,1) Model with Student-t Innovations. The R Journal 2(2), pp.41-47 URL http://journal.r-project.org/

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. URL http://ssrn.com/abstract=1543409

Corresponding BibTeX entries:

  @Manual{,
    title = {{bayesGARCH}: Bayesian Estimation of the {GARCH(1,1)}
      Model with Student-t Innovations in {R}},
    author = {David Ardia},
    year = {2011},
    note = {version 1-00.10},
    url = {http://CRAN.R-project.org/package=bayesGARCH},
  }

  @Book{,
    title = {Financial Risk Management with Bayesian Estimation of
      {GARCH} Models: Theory and Applications},
    author = {David Ardia},
    publisher = {Springer-Verlag},
    address = {Berlin, Germany},
    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{,
    author = {David Ardia and Lennart F. Hoogerheide},
    title = {Bayesian Estimation of the {GARCH(1,1)} Model with
      Student-t Innovations},
    journal = {The R Journal},
    volume = {2},
    number = {2},
    pages = {41--47},
    year = {2010},
    note = {URL http://journal.r-project.org/},
  }

  @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},
    note = {URL http://ssrn.com/abstract=1543409},
  }