Parallel Constrained Hamiltonian Monte Carlo for BEKK Model Comparison
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Publication:5133546
DOI10.1108/S0731-905320140000034008zbMath1453.62626OpenAlexW2482029497MaRDI QIDQ5133546
Publication date: 10 November 2020
Published in: Advances in Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1108/s0731-905320140000034008
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Analysis of variance and covariance (ANOVA) (62J10)
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