Bayesian influence diagnostics for a multivariate GARCH model
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Cites work
- A test for constant correlations in a multivariate GARCH model
- An overview of robust Bayesian analysis. (With discussion)
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Bayesian inference of multivariate-GARCH-BEKK models
- Bayesian influence analysis of generalized partial linear mixed models for longitudinal data
- Bayesian influence analysis: a geometric approach
- Bayesian local influence for spatial autoregressive models with heteroscedasticity
- Bayesian local influence for survival models
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- Generalized autoregressive conditional heteroscedasticity
- scientific article; zbMATH DE number 3984329 (Why is no real title available?)
- Identification of structural multivariate GARCH models
- Incorporating overnight and intraday returns into multivariate GARCH volatility models
- Influence diagnostics for multivariate GARCH processes
- Influence diagnostics in log-linear integer-valued GARCH models
- Local influence analysis for Poisson autoregression with an application to stock transaction data
- Local influence analysis in the softplus INGARCH model
- On diagnostics in conditionally heteroskedastic time series models under elliptical distributions
- On pseudo maximum likelihood estimation for multivariate time series models with conditional heteroskedasticity
- On the overall sensitivity of the posterior distribution to its inputs
- Robust Bayesian analysis using divergence measures
- Stepwise local influence in generalized autoregressive conditional heteroskedasticity models
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