Bayesian inference of multivariate-GARCH-BEKK models (Q6089306)
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scientific article; zbMATH DE number 7767274
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| English | Bayesian inference of multivariate-GARCH-BEKK models |
scientific article; zbMATH DE number 7767274 |
Statements
Bayesian inference of multivariate-GARCH-BEKK models (English)
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17 November 2023
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Gibbs sampler
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Metropolis-Hastings
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reversible jump MCMC
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delayed rejection MH
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MGARCH
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0.94483006
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0.92897505
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0.9263087
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0.9245456
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0.91746426
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0.9171363
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