Modelling volatility asymmetries: a Bayesian analysis of a class of tree structured multivariate GARCH models (Q5433621): Difference between revisions
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Revision as of 21:01, 5 March 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)
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9 January 2008
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autoregressive conditional heteroscedasticity
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Markov chain Monte Carlo
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Stochastic search
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tree structured models
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