Overview
Arie Preminger is an econometrician (Ben-Gurion University of the Negev) working on nonlinear time series, GARCH and regime-switching volatility models, and their asymptotic theory.
Key Contributions / Features
- Markov-switching GARCH (Bauwens-Preminger-Rombouts 2010): co-developed the theory (stationarity, moments) and Bayesian data-augmentation inference for regime-switching GARCH, resolving the path-dependence obstacle to maximum likelihood. The Econometrics Journal 13(2): 218–244.
Related