A Bayesian approach to relaxing parameter restrictions in multivariate GARCH models
| Year of publication: |
2008
|
|---|---|
| Authors: | Hudson, Brent ; Gerlach, Richard |
| Published in: |
TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. - Springer. - Vol. 17.2008, 3, p. 606-627
|
| Publisher: |
Springer |
| Subject: | Dynamic covariance | Stationarity | Positive definite | Markov chain Monte Carlo | Stock returns |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10005004353