Modelling volatility asymmetries: a Bayesian analysis of a class of tree structured multivariate GARCH models
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- Audrone Virbickaite & M. Concepción Ausín & Pedro Galeano, 2015. "Bayesian Inference Methods For Univariate And Multivariate Garch Models: A Survey," Journal of Economic Surveys, Wiley Blackwell, vol. 29(1), pages 76-96, February.
- 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," FRB Atlanta Working Paper 2012-09, Federal Reserve Bank of Atlanta.
- Mark J. Jensen & John M. Maheu, 2012. "Bayesian Semiparametric Multivariate GARCH Modeling," Working Paper series 48_12, Rimini Centre for Economic Analysis.
- Mark J Jensen & John M Maheu, 2012. "Bayesian semiparametric multivariate GARCH modeling," Working Papers tecipa-458, University of Toronto, Department of Economics.
- Burda Martin & Maheu John M., 2013.
"Bayesian adaptively updated Hamiltonian Monte Carlo with an application to high-dimensional BEKK GARCH models,"
Studies in Nonlinear Dynamics & Econometrics,
De Gruyter, vol. 17(4), pages 345-372, September.
- Martin Burda & John M. Maheu, 2012. "Bayesian Adaptively Updated Hamiltonian Monte Carlo with an Application to High-Dimensional BEKK GARCH Models," Working Paper series 46_12, Rimini Centre for Economic Analysis.
- Vrontos, Spyridon D. & Vrontos, Ioannis D. & Giamouridis, Daniel, 2008. "Hedge fund pricing and model uncertainty," Journal of Banking & Finance, Elsevier, vol. 32(5), pages 741-753, May.
- Martin Burda & John Maheu, 2011. "Bayesian Adaptive Hamiltonian Monte Carlo with an Application to High-Dimensional BEKK GARCH Models," Working Papers tecipa-438, University of Toronto, Department of Economics.
- Meligkotsidou, Loukia & Vrontos, Ioannis D. & Vrontos, Spyridon D., 2009. "Quantile regression analysis of hedge fund strategies," Journal of Empirical Finance, Elsevier, vol. 16(2), pages 264-279, March.
- Giannikis, D. & Vrontos, I.D. & Dellaportas, P., 2008. "Modelling nonlinearities and heavy tails via threshold normal mixture GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 52(3), pages 1549-1571, January.
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