Bayesian multivariate GARCH models with dynamic correlations and asymmetric error distributions

DOI10.1080/02664763.2013.839635MaRDI QIDQ5128581zbMATH OpenOpenAlexFDO

Authors José Augusto Fioruci, Ricardo S. Ehlers, Marinho G. Andrade Filho

Publication date 28 October 2020

Published in Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02664763.2013.839635

zbMATH Keywords

Markov chain Monte CarloMetropolis-Hastingsmultivariate GARCHmultivariate skewed distributions

Mathematics Subject Classification ID

Bayesian inference (62F15) Estimation in multivariate analysis (62H12)

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• Distributions Generated by Perturbation of Symmetry with Emphasis on a Multivariate Skewt-Distribution
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• Multivariate T-Distributions and Their Applications
• On Bayesian Modeling of Fat Tails and Skewness
• Time-varying joint distribution through copulas

Cited in

(14)

• A Bayesian approach to relaxing parameter restrictions in multivariate GARCH models
• Bayesian estimation of generalized hyperbolic skewed student GARCH models
• Bayesian semiparametric multivariate GARCH modeling
• Model and distribution uncertainty in multivariate GARCH estimation: a Monte Carlo analysis
• Bayesian analysis of general asymmetric multivariate GARCH models and news impact curves
• Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with Student-t innovations
• Computational tools for comparing asymmetric GARCH models via Bayes factors
• Corrigendum to Bayesian modelling of nonlinear negative binomial integer-valued GARCHX models
• Bayesian inference of multivariate rotated GARCH models with skew returns
• Bivariate asymmetric GARCH models with heavy tails and dynamic conditional correlations
• Modelling volatility asymmetries: a Bayesian analysis of a class of tree structured multivariate GARCH models
• Bayesian inference of multivariate-GARCH-BEKK models
• Bayesian vector heterogeneous autoregressive modelling
• A Bayesian non-parametric approach to dynamic conditional angular correlation model with application to portfolio optimization

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