A Bayesian approach to relaxing parameter restrictions in multivariate GARCH models
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Publication:1019488
DOI10.1007/S11749-007-0056-8zbMath1367.62257OpenAlexW1972079618MaRDI QIDQ1019488
Brent G. Hudson, Richard H. Gerlach
Publication date: 2 June 2009
Published in: Test (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11749-007-0056-8
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15)
Related Items (4)
Bayesian estimation of smoothly mixing time-varying parameter GARCH models ⋮ Bayesian semiparametric multivariate GARCH modeling ⋮ Testing for nonlinearity in mean and volatility for heteroskedastic models ⋮ Simplified specifications of a multivariate generalized autoregressive conditional heteroscedasticity model
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