Multivariate volatility models: an application to IBOVESPA and Dow Jones Industrial
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More about this item
KeywordsGARCH multivariados; modelos de volatilidad estocástica; series de tiempo financieras; metodología bayesiana; simulación de Monte Carlo.;
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
- G19 - Financial Economics - - General Financial Markets - - - Other
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
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