Bayesian analysis of general asymmetric multivariate GARCH models and news impact curves (Q2832980)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 6653181
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Bayesian analysis of general asymmetric multivariate GARCH models and news impact curves |
scientific article; zbMATH DE number 6653181 |
Statements
15 November 2016
0 references
asymmetry
0 references
Bayesian Markov chain Monte Carlo method
0 references
BEKK
0 references
leverage effect
0 references
multivariate GARCH
0 references
Bayesian analysis of general asymmetric multivariate GARCH models and news impact curves (English)
0 references
0.8018844127655029
0 references
0.7969843745231628
0 references
0.7921534180641174
0 references
0.7887997627258301
0 references
