Bayesian multivariate GARCH models with dynamic correlations and asymmetric error distributions

DOI10.1080/02664763.2013.839635OpenAlexW2038370967MaRDI QIDQ5128581

Ricardo S. Ehlers, Marinho G. Andrade Filho, José Augusto Fioruci

Publication date: 28 October 2020

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664763.2013.839635

zbMATH Keywords

Markov chain Monte CarloMetropolis-Hastingsmultivariate GARCHmultivariate skewed distributions

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Bayesian inference (62F15)

Related Items (1)

Bayesian inference of multivariate rotated GARCH models with skew returns

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