A Bayesian approach to relaxing parameter restrictions in multivariate GARCH models
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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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- Wilson Ye Chen & Richard H. Gerlach, 2017. "Semiparametric GARCH via Bayesian model averaging," Papers 1708.07587, arXiv.org.
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KeywordsDynamic covariance; Stationarity; Positive definite; Markov chain Monte Carlo; Stock returns; 62F15;
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