Bayesian estimation and comparison of MGARCH and MSV models via WinBUGS (Q4913924)
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scientific article; zbMATH DE number 6154769
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Bayesian estimation and comparison of MGARCH and MSV models via WinBUGS |
scientific article; zbMATH DE number 6154769 |
Statements
Bayesian estimation and comparison of MGARCH and MSV models via WinBUGS (English)
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17 April 2013
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Bayesian inference
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Chinese stock market
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conditional constant correlations
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DIC
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MCMC
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multivariate GARCH and stochastic volatility
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prior for correlation matrix
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sector index
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