Bivariate asymmetric GARCH models with heavy tails and dynamic conditional correlations (Q5245468)
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scientific article; zbMATH DE number 6423511
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Bivariate asymmetric GARCH models with heavy tails and dynamic conditional correlations |
scientific article; zbMATH DE number 6423511 |
Statements
Bivariate asymmetric GARCH models with heavy tails and dynamic conditional correlations (English)
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8 April 2015
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Bayesian inference
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Gibbs sampler
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heteroskedasticity
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leverage effect
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scale mixture of normal distributions
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multivariate student-\(t\) distribution
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