Dynamic mixed models with heterogeneous covariance components using multivariate GARCH innovations and the Dirichlet process mixture

DOI10.1016/J.CAM.2023.115579MaRDI QIDQ6079952zbMATHOpenAlexFDO

Authors Zeynab Aghabazaz, Iraj Kazemi, Alireza Nematollahi

Publication date 30 October 2023

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cam.2023.115579

zbMATH Keywords

Hamiltonian Monte Carlocross-sectional dependenceMODWTcentered Dirichlet processheterogeneous covariance matrixhigh-frequency volatility

Mathematics Subject Classification ID

Multivariate analysis (62H99) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cites work

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