A full-factor multivariate GARCH model (Q4458359)
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scientific article; zbMATH DE number 2060125
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A full-factor multivariate GARCH model |
scientific article; zbMATH DE number 2060125 |
Statements
A full-factor multivariate GARCH model (English)
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17 March 2004
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Markov chain Monte Carlo composition
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Bayesian model averaging
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autoregressive conditional heteroscedasticity
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maximum likelihood estimation
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