Bayesian inference of multivariate-GARCH-BEKK models
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Publication:6089306
DOI10.1007/S00362-022-01360-6MaRDI QIDQ6089306FDOQ6089306
Authors: G. C. jun. Livingston, D. Nur 
Publication date: 17 November 2023
Published in: Statistical Papers (Search for Journal in Brave)
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Cites Work
- The Model Confidence Set
- Generalized autoregressive conditional heteroscedasticity
- Bayesian Measures of Model Complexity and Fit
- Reversible jump Markov chain Monte Carlo computation and Bayesian model determination
- Handbook of Volatility Models and Their Applications
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Monte Carlo sampling methods using Markov chains and their applications
- Equation of state calculations by fast computing machines
- Multivariate GARCH Models
- Bayesian semiparametric multivariate GARCH modeling
- Robust ranking of multivariate GARCH models by problem dimension
- Bayesian inference of smooth transition autoregressive (STAR)\((k)\)-GARCH\((l, m)\) models
- Bayesian inference for smooth transition autoregressive (STAR) model: a prior sensitivity analysis
Cited In (5)
- Bayesian multivariate GARCH models with dynamic correlations and asymmetric error distributions
- Bayesian inference of smooth transition autoregressive (STAR)\((k)\)-GARCH\((l, m)\) models
- Bayesian non-parametric mixtures of GARCH(1,1) models
- Bayesian case influence analysis for GARCH models based on Kullback-Leibler divergence
- Constrained Hamiltonian Monte Carlo in BEKK GARCH with targeting
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