Bayesian inference of multivariate-GARCH-BEKK models

DOI10.1007/s00362-022-01360-6MaRDI QIDQ6089306

Darfiana Nur, G. C. jun. Livingston

Publication date: 17 November 2023

Published in: Statistical Papers (Search for Journal in Brave)

zbMATH Keywords

Gibbs samplerreversible jump MCMCMetropolis-HastingsMGARCHdelayed rejection MH

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• The Model Confidence Set
• Reversible jump Markov chain Monte Carlo computation and Bayesian model determination
• Robust ranking of multivariate GARCH models by problem dimension
• Generalized autoregressive conditional heteroscedasticity
• Bayesian inference of smooth transition autoregressive (STAR)\((k)\)-GARCH\((l, m)\) models
• Bayesian semiparametric multivariate GARCH modeling
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Multivariate GARCH Models
• Bayesian inference for smooth transition autoregressive (STAR) model: A prior sensitivity analysis
• Bayesian Measures of Model Complexity and Fit
• Equation of State Calculations by Fast Computing Machines
• Handbook of Volatility Models and Their Applications
• Monte Carlo sampling methods using Markov chains and their applications

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