Bayesian inference of multivariate rotated GARCH models with skew returns

DOI10.1080/03610918.2019.1620272zbMath1497.62236OpenAlexW2947290446MaRDI QIDQ5082768

Farhat Iqbal, Kostas Triantafyllopoulos

Publication date: 21 June 2022

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://eprints.whiterose.ac.uk/146215/1/BRBEKK_KTFinal.pdf

zbMATH Keywords

GARCHvolatilitymultivariate time seriesportfolio allocationBEKKrotated BEKKskew returns

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15)

Related Items (1)

Stochastic variational inference for GARCH models

Cites Work

• Unnamed Item
• Method of moments estimation of GO-GARCH models
• Bayesian comparison of bivariate ARCH-type models for the main exchange rates in Poland
• Multivariate rotated ARCH models
• Handbook of Financial Time Series
• Modelling Multivariate Volatilities via Conditionally Uncorrelated Components
• On Bayesian Modeling of Fat Tails and Skewness
• A full-factor multivariate GARCH model
• A Survey of Sequential Monte Carlo Methods for Economics and Finance
• Bayesian multivariate GARCH models with dynamic correlations and asymmetric error distributions
• Computationally Efficient Nonparametric Importance Sampling

This page was built for publication: Bayesian inference of multivariate rotated GARCH models with skew returns