Multivariate mixed normal conditional heteroskedasticity
Year of publication: |
2006-02
|
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Authors: | BAUWENS, Luc ; HAFNER, Christian ; ROMBOUTS, Jeroen |
Institutions: | Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain |
Subject: | multivariate volatility | finite mixture | EM algorithm | Bayesian inference |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series UNIVERSITE CATHOLIQUE DE LOUVAIN, Center for Operations Research and Econometrics (CORE) Number 2006012 |
Classification: | C11 - Bayesian Analysis ; C22 - Time-Series Models ; C52 - Model Evaluation and Testing |
Source: |
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Multivariate mixed normal conditional heteroskedasticity
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