Bayesian inference of multivariate-GARCH-BEKK models
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DOI: 10.1007/s00362-022-01360-6
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Cited by:
- Qingrui Wang & Zhao Yao, 2025. "Bayesian influence diagnostics for a multivariate GARCH model," Statistical Papers, Springer, vol. 66(2), pages 1-27, February.
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Keywords
Gibbs Sampler; Metropolis-Hastings; Reversible Jump MCMC; Delayed Rejection MH; MGARCH;All these keywords.
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