Bayesian estimation of a Dynamic Conditional Correlation model with multivariate Skew-Slash innovations
Year of publication: |
2014-06
|
---|---|
Authors: | Fuente, Cristina García de la ; Galeano, Pedro ; Wiper, Michael P. |
Institutions: | Departamento de Estadistica, Universidad Carlos III de Madrid |
Subject: | Bayesian inference | Dynamic Conditional Correlation | Financial time series | Infinite mixture | Kurtosis | MCMC | Skew-Slash |
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