Modelling volatility asymmetries: a Bayesian analysis of a class of tree structured multivariate GARCH models (Q5433621): Difference between revisions
From MaRDI portal
Created a new Item |
Added link to MaRDI item. |
||
| links / mardi / name | links / mardi / name | ||
Revision as of 02:58, 9 February 2024
scientific article; zbMATH DE number 5224482
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Modelling volatility asymmetries: a Bayesian analysis of a class of tree structured multivariate GARCH models |
scientific article; zbMATH DE number 5224482 |
Statements
Modelling volatility asymmetries: a Bayesian analysis of a class of tree structured multivariate GARCH models (English)
0 references
9 January 2008
0 references
autoregressive conditional heteroscedasticity
0 references
Markov chain Monte Carlo
0 references
Stochastic search
0 references
tree structured models
0 references
