REFERENCES
- Akaike , H. 1974 . A New Look at the Statistical Identification Model . IEEE Transactions on Automatic Control , 19 : 716 – 723 .
- Ardia , D. 2011 . bayesGARCH: Bayesian Estimation of the GARCH (1, 1) Model with Student-t Innovations in R. , R package version 1-00.10. http://CRAN.R-project.org/package=bayesGARCH
- Ardia , D. and Hoogerheide , L. 2010 . Bayesian Estimation of the Garch (1, 1) Model with Student-t Innovations . R Journal , 2 : 41 – 47 .
- Beal , M. , Ghahramani , Z. and Rasmussen , C. 2002 . The Infinite Hidden Markov Model . Advances in Neural Information Processing Systems , 1 : 577 – 584 .
- Bollerslev , T. 1986 . Generalized Autoregressive Conditional Heteroskedasticity . Journal of Econometrics , 31 : 307 – 327 .
- Burnham , K. P. and Anderson , D. R. 2002 . Model Selection and Multi-Model Inference: A Practical Information-Theoretic Approach , New York: Springer .
- Carlin , B. and Chib , S. 1995 . Bayesian Model Choice via Markov Chain Monte Carlo Methods . Journal of the Royal Statistical Society, Series B (Methodological) , : 473 – 484 .
- Chen , C. W. , Gerlach , R. H. and Lin , A. M. 2011 . Multi-regime Nonlinear Capital Asset Pricing Models . Quantitative Finance , 11 : 1421 – 1438 .
- Congdon , P. 2006 . Bayesian Model Choice Based on Monte Carlo Estimates of Posterior Model Probabilities . Computational Statistics & Data Analysis , 50 : 346 – 357 .
- Dempster , A. , Laird , N. and Rubin , D. 1977 . Maximum Likelihood from Incomplete Data via the Em Algorithm . Journal of the Royal Statistical Society, Series B (Methodological) , : 1 – 38 .
- Fox , E. , Sudderth , E. , Jordan , M. and Willsky , A. 2011 . A Sticky HDP-HMM with Application to Speaker Diarization . Annals of Applied Statistics , 5 ( 2A ) : 1020 – 1056 .
- Gelfand , A. E., and A. F. M. Smith . 1990 . Sampling-Based Approaches to Calculating Marginal Densities . Journal of the American Statistical Association , 85 : 398 – 409 .
- Geweke , J. 1993 . Bayesian Treatment of the Independent Student-t Linear Model . Journal of Applied Econometrics , 8 : S19 – S40 .
- Green , P. J. 1995 . Reversible Jump Markov Chain Monte Carlo Computation and Bayesian Model Determination . Biometrika , 82 : 711 – 732 .
- Hardy , M. 2001 . A Regime-Switching Model of Long-Term Stock Returns . North American Actuarial Journal , 5 : 41 – 53 .
- Hardy , M. 2003 . Investment Guarantees: Modeling and Risk Management for Equity Linked Life Insurance , City: John Wiley and Sons .
- Hartman , B. M. and Heaton , M. J. 2011 . Accounting for Regime and Parameter Uncertainty in Regime-Switching Models . Insurance: Mathematics and Economics , 49 : 429 – 437 .
- Hastings , W. K. 1970 . Monte Carlo Methods Using Markov Chains and Their Applications . Biometrika , 57 : 97 – 109 .
- Jacquier , E. , Polson , N. and Rossi , P. 2004 . Bayesian Analysis of Stochastic Volatility Models with Fat-Tails and Correlated Errors . Journal of Econometrics , 122 : 185 – 212 .
- Kim , S. , Shephard , N. and Chib , S. 1998 . Stochastic Volatility: Likelihood Inference and Comparison with Arch Models . Review of Economic Studies , 65 : 361 – 393 .
- Lopes , H. F., and R. S. Tsay . 2011 . Particle Filters and Bayesian Inference in Financial Econometrics . Journal of Forecasting , 30 : 168 – 209 .
- Metropolis , N. , Rosenbluth , A. W. , Rosenbluth , M. N. , Teller , A. H. and Teller , E. 1953 . Equations of State Calculations by Fast Computing Machines . Journal of Chemical Physics , 21 : 1087 – 1091 .
- Peters , G. W. , Shevchenko , P. V. and Wüthrich , M. V. 2009 . Model Uncertainty in Claims Reserving within Tweedie's Compound Poisson Models . arXiv preprint arXiv:0904.1483 ,
- R Core Team . 2012 . R: A Language and Environment for Statistical Computing , Vienna, Austria: R Foundation for Statistical Computing .
- Robert , C. , Ryden , T. and Titterington , D. 2000 . Bayesian Inference in Hidden Markov Models Through the Reversible Jump Markov Chain Monte Carlo Method . Journal of the Royal Statistical Society, Series B (Methodology) , 62 : 57 – 75 .
- Schwarz , G. 1978 . Estimating the Dimension of a Model . Annals of Statistics , 6 : 461 – 464 .
- Spiegelhalter , D. J. , Best , N. G. , Carlin , B. P. and Van der Linde , A. 2002 . Bayesian Measures of Model Complexity and Fit . Journal of the Royal Statistical Society, Series B (Methodology) , 64 : 583 – 639 .
- Teh , Y. , Jordan , M. , Beal , M. and Blei , D. 2006 . Hierarchical Dirichlet Processes . Journal of the American Statistical Association , 101 : 1566 – 1581 .
- Yahoo! Inc. 2010. Yahoo! Finance. Available at finance.yahoo.com
- Zucchini , W. and MacDonald , I. 2009 . Hidden Markov Models for Time Series: An Introduction Using R, Volume 110 , City: Chapman & Hall/CRC .