Bayesian adaptively updated Hamiltonian Monte Carlo with an application to high-dimensional BEKK GARCH models

DOI10.1515/snde-2013-0020zbMath1506.62400OpenAlexW2006358329MaRDI QIDQ5881698

John M. Maheu, Martin Burda

Publication date: 13 March 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2013-0020

zbMATH Keywords

Markov chain Monte Carlohigh-dimensional joint sampling

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60)

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