This paper introduces a new approach to Bayesian nonparametric inference for densities on the hypercube, based on the use of a multivariate Bernstein polynomial prior. Posterior convergence rates under the proposed prior are obtained. Furthermore, a novel sampling scheme, based on the use of...

GARCH models are commonly used for describing, estimating and predicting the dynamics of financial returns. Here, we relax the usual parametric distributional assumptions of GARCH models and develop a Bayesian semiparametric approach based on modeling the innovations using the class of scale...