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A full-factor multivariate GARCH model - MaRDI portal

A full-factor multivariate GARCH model (Q4458359)

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scientific article; zbMATH DE number 2060125
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English
A full-factor multivariate GARCH model
scientific article; zbMATH DE number 2060125

    Statements

    title
    A full-factor multivariate GARCH model (English)
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    author
    Ioannis D. Vrontos
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    Petros Dellaportas
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    Dimitris N. Politis
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    publication date
    17 March 2004
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    zbMATH Keywords
    Markov chain Monte Carlo composition
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    Bayesian model averaging
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    autoregressive conditional heteroscedasticity
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    maximum likelihood estimation
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    cites work
    Q3374310
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    Q4322323
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    Q4272853
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    Q4272782
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    Identifiers

    Mathematics Subject Classification ID
    91B84
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    62M10
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    62F10
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    62H12
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    zbMATH DE Number
    2060125
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    OpenAlex ID
    W2170813608
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