A Bayesian approach to relaxing parameter restrictions in multivariate GARCH models
type: Item
instance of: scholarly article
title: A Bayesian approach to relaxing parameter restrictions in multivariate GARCH models
zbMATH Open document ID: 1367.62257
author: Brent G. Hudson
author: Richard Gerlach
published in: Test
publication date: 2009-06-02T00:00:00Z
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62F15
Mathematics Subject Classification ID: 62P20
zbMATH DE Number: 5560827
zbMATH Keywords: dynamic covariance
zbMATH Keywords: stationarity
zbMATH Keywords: positive definite
zbMATH Keywords: Markov chain Monte Carlo
zbMATH Keywords: stock returns
MaRDI profile type: Publication
full work available at URL: s11749-007-0056-8
OpenAlex ID: W1972079618
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DOI: 10.1007/S11749-007-0056-8
description: scientific article; zbMATH DE number 5560827