Forecasting time-varying covariance with a robust Bayesian threshold model (Q3088162): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Forecasting time-varying covariance with a robust Bayesian threshold model |
scientific article |
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Forecasting time-varying covariance with a robust Bayesian threshold model (English)
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19 August 2011
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dynamic conditional correlation
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generalized autoregressive conditional heteroskedasticity
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hedge performance
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Markov chain Monte Carlo
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value at risk
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