A Bayesian approach to relaxing parameter restrictions in multivariate GARCH models (Q1019488)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Bayesian approach to relaxing parameter restrictions in multivariate GARCH models |
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A Bayesian approach to relaxing parameter restrictions in multivariate GARCH models (English)
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2 June 2009
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dynamic covariance
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stationarity
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positive definite
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Markov chain Monte Carlo
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stock returns
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