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A Bayesian approach to relaxing parameter restrictions in multivariate GARCH models

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  • Brent Hudson

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  • Richard Gerlach

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    File URL: http://hdl.handle.net/10.1007/s11749-007-0056-8
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    Bibliographic Info

    Article provided by Springer in its journal TEST.

    Volume (Year): 17 (2008)
    Issue (Month): 3 (November)
    Pages: 606-627

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    Handle: RePEc:spr:testjl:v:17:y:2008:i:3:p:606-627

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    Related research

    Keywords: Dynamic covariance; Stationarity; Positive definite; Markov chain Monte Carlo; Stock returns; 62F15;

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    References

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    1. Kroner, Kenneth F & Ng, Victor K, 1998. "Modeling Asymmetric Comovements of Asset Returns," Review of Financial Studies, Society for Financial Studies, vol. 11(4), pages 817-44.
    2. Ling, Shiqing & McAleer, Michael, 2002. "NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS," Econometric Theory, Cambridge University Press, vol. 18(03), pages 722-729, June.
    3. WenShwo Fang & Stephen M. Miller, 2004. "Exchange rate depreciation and exports: The case of Singapore revisited," Working papers 2004-45, University of Connecticut, Department of Economics.
    4. Gerlach, Richard & Tuyl, Frank, 2006. "MCMC methods for comparing stochastic volatility and GARCH models," International Journal of Forecasting, Elsevier, vol. 22(1), pages 91-107.
    5. Engle, Robert F. & Kroner, Kenneth F., 1995. "Multivariate Simultaneous Generalized ARCH," Econometric Theory, Cambridge University Press, vol. 11(01), pages 122-150, February.
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    Cited by:
    1. Mark J Jensen & John M Maheu, 2012. "Bayesian semiparametric multivariate GARCH modeling," Working Papers tecipa-458, University of Toronto, Department of Economics.
    2. Chen, Cathy W.S. & Gerlach, Richard & Lin, Edward M.H., 2014. "Bayesian estimation of smoothly mixing time-varying parameter GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 194-209.
    3. Yip, Iris W.H. & So, Mike K.P., 2009. "Simplified specifications of a multivariate generalized autoregressive conditional heteroscedasticity model," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 80(2), pages 327-340.

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