Parallel Bayesian inference for high-dimensional dynamic factor copulas
Year of publication: |
2019
|
---|---|
Authors: | Nguyen, Hoang ; Ausín, M. Concepción ; Galeano, Pedro |
Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 17.2019, 1, p. 118-151
|
Subject: | Bayesian inference | factor copula models | GAS model | generalized hyperbolic skew Student-t factor copula | parallel estimation | Multivariate Verteilung | Multivariate distribution | Bayes-Statistik | Theorie | Theory | Statistische Verteilung | Statistical distribution | Induktive Statistik | Statistical inference | Schätzung | Estimation | Faktorenanalyse | Factor analysis |
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