Dynamic mixed models with heterogeneous covariance components using multivariate GARCH innovations and the Dirichlet process mixture

DOI10.1016/J.CAM.2023.115579zbMath1522.62080OpenAlexW4386836686MaRDI QIDQ6079952

Alireza Nematollahi, Zeynab Aghabazaz, Iraj Kazemi

Publication date: 30 October 2023

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2023.115579

zbMATH Keywords

cross-sectional dependenceHamiltonian Monte CarloMODWTcentered Dirichlet processheterogeneous covariance matrixhigh-frequency volatility

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Multivariate analysis (62H99) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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