This paper proposes a Bayesian nonparametric modeling approach for the return distribution in multivariate GARCH models. In contrast to the parametric literature, the return distribution can display general forms of asymmetry and thick tails. An infinite mixture of multivariate normals is given...

4208 In many practical situations, simple regression models suffer from the fact that the dependence of responses on covariates can not be sufficiently described by a purely parametric predictor. For example effects of continuous covariates may be nonlinear or complex interactions between...