Bayesian semiparametric multivariate GARCH modeling

DOI10.1016/j.jeconom.2013.03.009zbMath1284.62559MaRDI QIDQ2442573

John M. Maheu, Mark J. Jensen

Publication date: 4 April 2014

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://www.frbatlanta.org/documents/pubs/wp/wp1209.pdf

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62G05: Nonparametric estimation

62F15: Bayesian inference

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