A Bayesian approach to relaxing parameter restrictions in multivariate GARCH models
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References listed on IDEAS
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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.
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More about this item
KeywordsDynamic covariance; Stationarity; Positive definite; Markov chain Monte Carlo; Stock returns; 62F15;
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