Bayesian Adaptive Hamiltonian Monte Carlo with an Application to High-Dimensional BEKK GARCH Models
Download full text from publisher
References listed on IDEAS
- Engle, Robert F. & Kroner, Kenneth F., 1995. "Multivariate Simultaneous Generalized ARCH," Econometric Theory, Cambridge University Press, vol. 11(01), pages 122-150, February.
- Bauwens, Luc & Bos, Charles S. & van Dijk, Herman K. & van Oest, Rutger D., 2004.
"Adaptive radial-based direction sampling: some flexible and robust Monte Carlo integration methods,"
Journal of Econometrics,
Elsevier, vol. 123(2), pages 201-225, December.
- Bauwens, L. & Bos, C.S. & van Dijk, H.K. & van Oest, R.D., 2003. "Adaptive radial-based direction sampling; Some flexible and robust Monte Carlo integration methods," Econometric Institute Research Papers EI 2003-22, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- BAUWENS, Luc & BOS, Charles S. & VAN DIJK, Herman K. & VAN OEST, Rutger D., 2004. "Adaptive radial-based direction sampling: some flexible and robust Monte Carlo integration methods," CORE Discussion Papers RP 1731, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Christian Hafner & Helmut Herwartz, 2008.
"Analytical quasi maximum likelihood inference in multivariate volatility models,"
Metrika: International Journal for Theoretical and Applied Statistics,
Springer, vol. 67(2), pages 219-239, March.
- Hafner, C.M. & Herwartz, H., 2003. "Analytical quasi maximum likelihood inference in multivariate volatility models," Econometric Institute Research Papers EI 2003-21, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Chib, Siddhartha & Ramamurthy, Srikanth, 2010. "Tailored randomized block MCMC methods with application to DSGE models," Journal of Econometrics, Elsevier, vol. 155(1), pages 19-38, March.
- Robert Engle & Neil Shephard & Kevin Shepphard, 2008.
"Fitting vast dimensional time-varying covariance models,"
OFRC Working Papers Series
2008fe30, Oxford Financial Research Centre.
- Neil Shephard & Kevin Sheppard & Robert F. Engle, 2008. "Fitting vast dimensional time-varying covariance models," Economics Series Working Papers 403, University of Oxford, Department of Economics.
- Osiewalski, Jacek & Pipien, Mateusz, 2004. "Bayesian comparison of bivariate ARCH-type models for the main exchange rates in Poland," Journal of Econometrics, Elsevier, vol. 123(2), pages 371-391, December.
- P. Dellaportas & I. D. Vrontos, 2007. "Modelling volatility asymmetries: a Bayesian analysis of a class of tree structured multivariate GARCH models," Econometrics Journal, Royal Economic Society, vol. 10(3), pages 503-520, November.
More about this item
KeywordsHigh-dimensional joint sampling; Markov chain Monte Carlo; Multivariate GARCH;
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: 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
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-07-13 (All new papers)
- NEP-ECM-2011-07-13 (Econometrics)
- NEP-ETS-2011-07-13 (Econometric Time Series)
- NEP-ORE-2011-07-13 (Operations Research)
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:tor:tecipa:tecipa-438. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (RePEc Maintainer) or (Rebekah McClure). General contact details of provider: .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.