Bayesian inference of multivariate-GARCH-BEKK models

DOI10.1007/S00362-022-01360-6MaRDI QIDQ6089306zbMATH OpenFDO

Authors G. C. jun. Livingston, D. Nur

Publication date 17 November 2023

Published in Statistical Papers (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

zbMATH Keywords

Metropolis-HastingsGibbs samplerreversible jump MCMCMGARCHdelayed rejection MH

Mathematics Subject Classification ID

Statistics (62-XX)

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Cites work

• Bayesian Measures of Model Complexity and Fit
• Bayesian inference for smooth transition autoregressive (STAR) model: a prior sensitivity analysis
• Bayesian inference of smooth transition autoregressive (STAR)\((k)\)-GARCH\((l, m)\) models
• Bayesian semiparametric multivariate GARCH modeling
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Equation of state calculations by fast computing machines
• Generalized autoregressive conditional heteroscedasticity
• Handbook of Volatility Models and Their Applications
• Monte Carlo sampling methods using Markov chains and their applications
• Multivariate GARCH Models
• Reversible jump Markov chain Monte Carlo computation and Bayesian model determination
• Robust ranking of multivariate GARCH models by problem dimension
• The Model Confidence Set

Cited in

(5)

• Bayesian multivariate GARCH models with dynamic correlations and asymmetric error distributions
• Constrained Hamiltonian Monte Carlo in BEKK GARCH with targeting
• Bayesian inference of smooth transition autoregressive (STAR)\((k)\)-GARCH\((l, m)\) models
• Bayesian case influence analysis for GARCH models based on Kullback-Leibler divergence
• Bayesian non-parametric mixtures of GARCH(1,1) models

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