A comparison of Bayesian model selection based on MCMC with an application to GARCH-type models

Miazhynskaia, Tatiana, Dorffner, Georg . Statistical Papers 2006. 47 (4) :525-549

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Bibtex

@article{CIS-241268,
  Author = {Miazhynskaia, Tatiana and Dorffner, Georg},
  Title = {A comparison of Bayesian model selection based on MCMC with an application to GARCH-type models},
  Journal = {Statistical Papers},
  Volume = {47},
  Number = {4},
  Year = {2006},
  Pages = {525--549},
  Keywords = {Bayesian inference, Bayesian model selection, Markov chain Monte Carlo, GARCH models, model likelihood}
}

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