Bayesian Analysis of Realized Matrix-Exponential GARCH Models
Year of publication: |
2018
|
---|---|
Authors: | Asai, Manabu ; McAleer, Michael |
Publisher: |
Amsterdam and Rotterdam : Tinbergen Institute |
Subject: | Multivariate | GARCH | Realized | Measures | Matrix-Exponential | Bayesian | Markov | Chain | Monte | Carlo | method | Asymmetry |
Series: | Tinbergen Institute Discussion Paper ; TI 2018-005/III |
---|---|
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 1014560624 [GVK] hdl:10419/177695 [Handle] RePEc:tin:wpaper:20180005 [RePEc] |
Classification: | C11 - Bayesian Analysis ; C32 - Time-Series Models |
Source: |
-
Bayesian analysis of realized matrix-exponential GARCH models
Asai, Manabu, (2018)
-
Orbital Priors for Time-Series Models
Kociecki, Andrzej, (2012)
-
Jochmann, Markus, (2009)
- More ...
-
Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing
Asai, Manabu, (2013)
-
Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models
Asai, Manabu, (2013)
-
The Impact of Jumps and Leverage in Forecasting Co-Volatility
Asai, Manabu, (2015)
- More ...