Copula multivariate GARCH model with constrained Hamiltonian Monte Carlo (Q2178935)
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scientific article; zbMATH DE number 7198984
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Copula multivariate GARCH model with constrained Hamiltonian Monte Carlo |
scientific article; zbMATH DE number 7198984 |
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Copula multivariate GARCH model with constrained Hamiltonian Monte Carlo (English)
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12 May 2020
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dynamic conditional volatility
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varying correlation model
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Markov chain Monte Carlo
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0.9000144
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0.89993155
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0.8996426
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0.8900715
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0.8893333
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0.8829199
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0.87859833
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0.8743707
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