A Bayesian approach to relaxing parameter restrictions in multivariate GARCH models

DOI10.1007/S11749-007-0056-8zbMATH Open1367.62257OpenAlexW1972079618MaRDI QIDQ1019488FDOQ1019488

Authors: Brent G. Hudson, Richard Gerlach 

Publication date: 2 June 2009

Published in: Test (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11749-007-0056-8

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zbMATH Keywords

Markov chain Monte Carlostationaritystock returnspositive definitedynamic covariance

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• On Gibbs sampling for state space models
• ARCH modeling in finance. A review of the theory and empirical evidence
• Sampling-Based Approaches to Calculating Marginal Densities
• Stochastic Relaxation, Gibbs Distributions, and the Bayesian Restoration of Images
• Monte Carlo sampling methods using Markov chains and their applications
• Stationarity and the existence of moments of a family of GARCH processes.
• Title not available (Why is that?)
• NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS
• On Metropolis-Hastings algorithms with delayed rejection
• Time Series and Dynamic Models
• Dynamic hedging effectiveness in South Korean index futures and the impact of the Asian financial crisis
• ASSESSING AND TESTING FOR THRESHOLD NONLINEARITY IN STOCK RETURNS

Cited In (8)

• Testing for nonlinearity in mean and volatility for heteroskedastic models
• Bayesian multivariate GARCH models with dynamic correlations and asymmetric error distributions
• Bayesian semiparametric multivariate GARCH modeling
• Semiparametric GARCH via Bayesian Model Averaging
• Simplified specifications of a multivariate generalized autoregressive conditional heteroscedasticity model
• Bayesian estimation of smoothly mixing time-varying parameter GARCH models
• Bayesian inference of multivariate-GARCH-BEKK models
• On the parametrization of multivariate GARCH models

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