Concepedia

Bayesian Garch Models

Bayesian GARCH Models is a statistical modeling framework within econometrics that integrates Bayesian inference methods with Generalized Autoregressive Conditional Heteroskedasticity (GARCH) structures to estimate time-varying volatility parameters through prior distributions and posterior updating.

130

Publications

10.5K

Citations

211

Authors

152

Institutions

Publications per year

2017–2026

40

Parents

Publications

130

An Introduction to Bayesian Inference in Econometrics.

J. D. Sargan, Arnold Zellner · Journal of the Royal Statistical Society Series A (General) · 1974 · 2K citations

, , +11

An Introduction to Bayesian Inference in Econometrics.

Dennis J. Aigner, Arnold Zellner · Journal of the American Statistical Association · 1972 · 1.7K citations

, , +11

Bayesian analysis of stochastic volatility models with fat-tails and correlated errors

Éric Jacquier, Nicholas G. Polson, Peter E. Rossi · Journal of Econometrics · 2003 · 657 citations

, , +16

Predictive regressions with time-varying coefficients

Thomas Dangl, Michael Halling · Journal of Financial Economics · 2012 · 585 citations · Full text

, , +16

An Introduction to Bayesian Inference in Econometrics

I. J. Good · Technometrics · 1975 · 453 citations

, , +11

1–5 of 130

Authors

211

  1. CW
    Cathy W. S. Chen

    Feng Chia University, Taiwan

    7 publications · 223 citations

    7

    h-index

  2. DA
    David Ardia

    Vrije Universiteit Brussel, Belgium

    6 publications · 540 citations

    6

    h-index

  3. LB
    Luc Bauwens

    UCLouvain, Belgium

    5 publications · 228 citations

    5

    h-index

  4. AZ
    Arnold Zellner

    University of Chicago, United States

    5 publications · 3.9K citations

    5

    h-index

  5. MM
    Michael McAleer

    Erasmus University Rotterdam, Netherlands

    4 publications · 74 citations

    4

    h-index

1–5 of 211

Institutions

152

  1. Feng Chia University

    Taichung, Taiwan

    8 h-index

    14 publications

    412 citations

  2. UCLouvain

    Louvain-la-Neuve, Belgium

    6 h-index

    10 publications

    428 citations

  3. TU Wien

    Vienna, Austria

    4 h-index

    4 publications

    757 citations

  4. University of Fribourg

    Fribourg, Switzerland

    4 h-index

    5 publications

    207 citations

  5. Erasmus University Rotterdam

    Rotterdam, The Netherlands

    4 h-index

    5 publications

    172 citations

  6. European Central Bank

    Frankfurt am Main, Germany

    4 h-index

    4 publications

    66 citations

  7. HEC Montréal

    Montreal, Canada

    4 h-index

    4 publications

    1K citations

  8. Center for Interuniversity Research and Analysis on Organizations

    Montreal, Canada

    4 h-index

    4 publications

    764 citations

1–8 of 152

Venues

  1. Journal of Econometrics

    9 publications · 1.3K citations

    9

    h-index

  2. SSRN Electronic Journal

    Repository · 9 publications · 295 citations

    9

    h-index

  3. Journal of Business and Economic Statistics

    JBES · 4 publications · 353 citations

    4

    h-index

  4. Journal of the American Statistical Association

    4 publications · 1.8K citations

    4

    h-index

  5. Computational Statistics & Data Analysis

    CSDA · 3 publications · 108 citations

    3

    h-index

1–5