Bayesian analysis of realized matrix-exponential GARCH models
Manabu Asai, Michael McAleer
| Year of publication: |
2022
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|---|---|
| Authors: | Asai, Manabu ; McAleer, Michael |
| Published in: |
Computational economics. - Dordrecht [u.a.] : Springer Science + Business Media B.V., ISSN 1572-9974, ZDB-ID 1477445-8. - Vol. 59.2022, 1, p. 103-123
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| Subject: | Multivariate GARCH | Realized measure | Matrix-exponential | Bayesian Markov chain Monte Carlo method | Asymmetry | Monte-Carlo-Simulation | Monte Carlo simulation | Bayes-Statistik | Bayesian inference | Markov-Kette | Markov chain | Volatilität | Volatility | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Kapitalmarktrendite | Capital market returns |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-020-10074-6 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013168928