Bayesian comparison of bivariate copula-GARCH and MGARCH models
Justyna Mokrzycka
| Year of publication: |
2019
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|---|---|
| Authors: | Mokrzycka, Justyna |
| Published in: |
Central European journal of economic modelling and econometrics. - [Erscheinungsort nicht ermittelbar] : Versita, ISSN 2080-119X, ZDB-ID 2529566-4. - Vol. 11.2019, 1, p. 47-71
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| Subject: | Bayesian model comparison | Copula-GARCH model | Multivariate GARCH model | Monte Carlo Importance Sampling | Bayes-Statistik | Bayesian inference | ARCH-Modell | ARCH model | Theorie | Theory | Monte-Carlo-Simulation | Monte Carlo simulation | Modellierung | Scientific modelling | Stichprobenerhebung | Sampling |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.24425/cejeme.2019.129362 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012294555