Dynamic mixed models with heterogeneous covariance components using multivariate GARCH innovations and the Dirichlet process mixture (Q6079952)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Dynamic mixed models with heterogeneous covariance components using multivariate GARCH innovations and the Dirichlet process mixture |
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
0 references
0 references
0 references
0 references
0 references
