Bivariate asymmetric GARCH models with heavy tails and dynamic conditional correlations

DOI10.1080/14697688.2012.683878zbMath1402.62249OpenAlexW2150383340MaRDI QIDQ5245468

S. T. Boris Choy, Edward M. H. Lin, Cathy W. S. Chen

Publication date: 8 April 2015

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2012.683878

zbMATH Keywords

Gibbs samplerBayesian inferenceleverage effectheteroskedasticityscale mixture of normal distributionsmultivariate student-\(t\) distribution

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Statistics of extreme values; tail inference (62G32)

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