1. Asai, M. and Watanabe, T. (2004). Comparison of MCMC methods for estimating GARCH models, COE discussion paper series, No.18, Tokyo Metropolitan University.
2. Bauwens, L. and Lubrano, M. (1998). Bayesian inference on GARCH models using the Gibbs sampler, Econometrics Journal, 1, c23–c46.
3. Bauwens, L., Lubrano, M. and Richard, J.-F. (1999). Bayesian Inference in Dynamic Econometric Models, Oxford University Press.
4. Black, F. (1976). Studies of stock market volatility changes, 1976 Proceedings of the American Statistical Association Bisiness and Economic Statistics Section, American Statistical Association, 177–181.
5. Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity, Journal of Econometrics, 31, 307–327.