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Fast, order-invariant Bayesian inference in VARs using the eigendecomposition of the error covariance matrix
Wu, Ping; Koop, Gary - 2023
Persistent link: https://www.econbiz.de/10014316242
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A multivariate asymmetric long memory conditional volatility model with x, regularity and asymptotics
Asai, Manabu; McAleer, Michael - 2016
Persistent link: https://www.econbiz.de/10011541169
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Asymptotic theory for extended asymmetric multivariate GARCH processes
Asai, Manabu; McAleer, Michael - 2016
Persistent link: https://www.econbiz.de/10011541171