Bayesian inference of multivariate-GARCH-BEKK models (Q6089306)
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scientific article; zbMATH DE number 7767274
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Bayesian inference of multivariate-GARCH-BEKK models |
scientific article; zbMATH DE number 7767274 |
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Bayesian inference of multivariate-GARCH-BEKK models (English)
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17 November 2023
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Gibbs sampler
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Metropolis-Hastings
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reversible jump MCMC
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delayed rejection MH
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MGARCH
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