The Gaussian Mixture Dynamic Conditional Correlation Model: Parameter Estimation, Value at Risk Calculation, and Portfolio Selection
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Bibliographic InfoArticle provided by American Statistical Association in its journal Journal of Business and Economic Statistics.
Volume (Year): 28 (2010)
Issue (Month): 4 ()
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Web page: http://www.amstat.org/publications/jbes/index.cfm?fuseaction=main
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- Jensen, Mark J. & Maheu, John M., 2013.
"Bayesian semiparametric multivariate GARCH modeling,"
Journal of Econometrics,
Elsevier, vol. 176(1), pages 3-17.
- Mark J Jensen & John M Maheu, 2012. "Bayesian semiparametric multivariate GARCH modeling," Working Papers tecipa-458, University of Toronto, Department of Economics.
- Mark J. Jensen & John M. Maheu, 2012. "Bayesian Semiparametric Multivariate GARCH Modeling," Working Paper Series 48_12, The Rimini Centre for Economic Analysis.
- Mark J. Jensen & John M. Maheu, 2012. "Bayesian semiparametric multivariate GARCH modeling," Working Paper 2012-09, Federal Reserve Bank of Atlanta.
- Roberto Casarin & Marco Tronzano & Domenico Sartore, 2013. "Bayesian Markov Switching Stochastic Correlation Models," Working Papers 2013:11, Department of Economics, University of Venice "Ca' Foscari".
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