Dynamic mixed models with heterogeneous covariance components using multivariate GARCH innovations and the Dirichlet process mixture (Q6079952): Difference between revisions
From MaRDI portal
Created a new Item |
Added link to MaRDI item. |
||
| links / mardi / name | links / mardi / name | ||
Revision as of 07:00, 10 July 2024
scientific article; zbMATH DE number 7756783
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Dynamic mixed models with heterogeneous covariance components using multivariate GARCH innovations and the Dirichlet process mixture |
scientific article; zbMATH DE number 7756783 |
Statements
Dynamic mixed models with heterogeneous covariance components using multivariate GARCH innovations and the Dirichlet process mixture (English)
0 references
30 October 2023
0 references
centered Dirichlet process
0 references
cross-sectional dependence
0 references
Hamiltonian Monte Carlo
0 references
heterogeneous covariance matrix
0 references
high-frequency volatility
0 references
MODWT
0 references
