Bayesian estimation methods form a dynamic branch of statistical inference, utilising Bayes’ theorem to update probabilities in light of new evidence. This framework combines prior knowledge with ...

A Bayesian estimation of a regime-switching threshold asymmetric GARCH model is proposed. The specification is based on a Markov-switching model with Student-t innovations and K separate GJR(1,1) ...

The paper provides a formal proof that efficient estimates of parameters, which vary as as little as possible when measurements are repeated, may be expected to provide more accurate predictions. The ...