Bayesian semiparametric multivariate GARCH modeling
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Cites work
- A Bayesian analysis of some nonparametric problems
- A Bayesian approach to relaxing parameter restrictions in multivariate GARCH models
- A Student-t full factor multivariate GARCH model
- Bayesian comparison of bivariate ARCH-type models for the main exchange rates in Poland
- Bayesian Density Estimation and Inference Using Mixtures
- Bayesian multivariate time series methods for empirical macroeconomics
- Bayesian Nonparametrics
- Bayesian semiparametric stochastic volatility modeling
- Estimation and Forecasting of Dynamic Conditional Covariance: A Semiparametric Multivariate Model
- scientific article; zbMATH DE number 774881 (Why is no real title available?)
- scientific article; zbMATH DE number 863811 (Why is no real title available?)
- Likelihood-based scoring rules for comparing density forecasts in tails
- Markov chain Monte Carlo in approximate Dirichlet and beta two-parameter process hierarchical models
- Modelling volatility asymmetries: a Bayesian analysis of a class of tree structured multivariate GARCH models
- Multivariate GARCH Models
- Multivariate mixed normal conditional heteroskedasticity
- Sampling the Dirichlet Mixture Model with Slices
- Semiparametric multivariate volatility models
- Slice sampling mixture models
- The Gaussian mixture dynamic conditional correlation model: Parameter estimation, value at risk calculation, and portfolio selection
Cited in
(31)- A Bayesian approach to relaxing parameter restrictions in multivariate GARCH models
- Multivariate Wishart stochastic volatility and changes in regime
- A Bayesian non-parametric approach to asymmetric dynamic conditional correlation model with application to portfolio selection
- Dual-semiparametric regression using weighted Dirichlet process mixture
- Discussion of ``Nonparametric Bayesian inference in applications: Bayesian nonparametric methods in econometrics
- Copula multivariate GARCH model with constrained Hamiltonian Monte Carlo
- A semiparametric Bayesian approach to the analysis of financial time series with applications to value at risk estimation
- Bayesian semiparametric double autoregressive modeling
- A Bayesian semiparameteric analysis of ARCH models
- Bayesian analysis of general asymmetric multivariate GARCH models and news impact curves
- Bayesian case influence analysis for GARCH models based on Kullback-Leibler divergence
- A quantile function approach to the distribution of financial returns following TGARCH models
- A full-factor multivariate GARCH model
- scientific article; zbMATH DE number 1524239 (Why is no real title available?)
- Bayesian non-parametric mixtures of GARCH(1,1) models
- Bayesian tail‐risk forecasting using realized GARCH
- Flexible weighted dirichlet process mixture modelling and evaluation to address the problem of forecasting return distribution
- Bayesian inference of multivariate rotated GARCH models with skew returns
- Bayesian multivariate GARCH models with dynamic correlations and asymmetric error distributions
- Volatility prediction based on scheduled macroeconomic announcements
- Particle learning for Bayesian semi-parametric stochastic volatility model
- Bayesian semiparametric multivariate stochastic volatility with application
- Bayesian semiparametric modeling of realized covariance matrices
- On variable ordination of modified Cholesky decomposition for estimating time‐varying covariance matrices
- Bayesian inference of multivariate-GARCH-BEKK models
- Bayesian semiparametric Markov switching stochastic volatility model
- Autoregressive Moving Average Infinite Hidden Markov-Switching Models
- Enhancing Scalability in Bayesian Nonparametric Factor Analysis of Spatiotemporal Data
- Bayesian nonparametric modelling of stochastic volatility
- Bayesian semiparametric stochastic volatility modeling
- Financial risk management with Bayesian estimation of GARCH models. Theory and applica\-tions.
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