Bayesian Analysis of General Asymmetric Multivariate GARCH Models and News Impact Curves

DOI10.14490/jjss.45.129zbMath1356.62132OpenAlexW2524875909MaRDI QIDQ2832980

Manabu Asai

Publication date: 15 November 2016

Published in: JOURNAL OF THE JAPAN STATISTICAL SOCIETY (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.14490/jjss.45.129

zbMATH Keywords

asymmetryleverage effectmultivariate GARCHBEKKBayesian Markov chain Monte Carlo method

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15)

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