Bayesian adaptively updated Hamiltonian Monte Carlo with an application to high-dimensional BEKK GARCH models

DOI10.1515/SNDE-2013-0020MaRDI QIDQ5881698zbMATH OpenOpenAlexFDO

Authors Martin Burda, John M. Maheu

Publication date 13 March 2023

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/snde-2013-0020

zbMATH Keywords

high-dimensional joint samplingMarkov chain Monte Carlo

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60)

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Cited in

(4)

• Constrained Hamiltonian Monte Carlo in BEKK GARCH with targeting
• Modified Cholesky Riemann manifold Hamiltonian Monte Carlo: exploiting sparsity for fast sampling of high-dimensional targets
• Markov switching panel with endogenous synchronization effects
• Recurrent neural network go-GARCH model for portfolio selection

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