Modelling volatility asymmetries: a Bayesian analysis of a class of tree structured multivariate GARCH models

DOI10.1111/j.1368-423X.2007.00219.xzbMath1126.62098MaRDI QIDQ5433621

Petros Dellaportas, Ioannis D. Vrontos

Publication date: 9 January 2008

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

zbMATH Keywords

Markov chain Monte CarloStochastic searchautoregressive conditional heteroscedasticitytree structured models

Mathematics Subject Classification ID

Related Items (4)

Evidence for hedge fund predictability from a multivariate Student'stfull-factor GARCH model ⋮ Bayesian semiparametric multivariate GARCH modeling ⋮ A quantile function approach to the distribution of financial returns following TGARCH models ⋮ Modelling nonlinearities and heavy tails via threshold normal mixture GARCH models

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• A Reference Bayesian Test for Nested Hypotheses and its Relationship to the Schwarz Criterion
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