Dynamic mixed models with heterogeneous covariance components using multivariate GARCH innovations and the Dirichlet process mixture (Q6079952)
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scientific article; zbMATH DE number 7756783
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| English | Dynamic mixed models with heterogeneous covariance components using multivariate GARCH innovations and the Dirichlet process mixture |
scientific article; zbMATH DE number 7756783 |
Statements
Dynamic mixed models with heterogeneous covariance components using multivariate GARCH innovations and the Dirichlet process mixture (English)
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30 October 2023
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centered Dirichlet process
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cross-sectional dependence
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Hamiltonian Monte Carlo
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heterogeneous covariance matrix
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high-frequency volatility
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MODWT
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0.6924466490745544
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0.6886010766029358
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0.6874328851699829
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0.6837975382804871
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