Bayesian semiparametric multivariate GARCH modeling
From MaRDI portal
Publication:2442573
DOI10.1016/j.jeconom.2013.03.009zbMath1284.62559MaRDI QIDQ2442573
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
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62G05: Nonparametric estimation
62F15: Bayesian inference
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