Copula multivariate GARCH model with constrained Hamiltonian Monte Carlo

DOI10.1515/DEMO-2019-0006MaRDI QIDQ2178935zbMATH OpenOpenAlexFDO

Authors Martin Burda, Louis Bélisle

Publication date 12 May 2020

Published in Dependence Modeling (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1515/demo-2019-0006

zbMATH Keywords

Markov chain Monte Carlodynamic conditional volatilityvarying correlation model

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Monte Carlo methods (65C05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

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Cites work

• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• scientific article; zbMATH DE number 2117879 (Why is no real title available?)
• A comparison of generalized hybrid Monte Carlo methods with and without momentum flip
• An introduction to copulas.
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Copula-based multivariate GARCH model with uncorrelated dependent errors
• Efficient estimation of copula-GARCH models
• MCMC using Hamiltonian dynamics
• Optimal tuning of the hybrid Monte Carlo algorithm
• Simulating Hamiltonian Dynamics
• Simulation Run Length Control in the Presence of an Initial Transient
• Time-varying joint distribution through copulas
• Weak convergence and optimal scaling of random walk Metropolis algorithms

Cited in

(4)

• Constrained Hamiltonian Monte Carlo in BEKK GARCH with targeting
• Drawdown risk measures for asset portfolios with high frequency data
• Copula-based multivariate GARCH model with uncorrelated dependent errors
• Copula-MGARCH with continuous covariance decomposition

Describes a project that uses

Uses Software

• CODA

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