A Bayesian approach to relaxing parameter restrictions in multivariate GARCH models
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Bibliographic InfoArticle provided by Springer in its journal TEST.
Volume (Year): 17 (2008)
Issue (Month): 3 (November)
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Web page: http://www.springerlink.com/link.asp?id=120411
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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.
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