Bayesian Clustering Of Similar Multivariate Garch Models
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More about this item
Keywords
Large financial systems; Multivariate GARCH; Clustering; Bayesian methods; Gibbs sampling; Finite mixture distributions;All these keywords.
JEL classification:
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: 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 fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2004-12-02 (Econometrics)
- NEP-ETS-2004-12-02 (Econometric Time Series)
- NEP-FIN-2004-12-02 (Finance)
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