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Modelling volatility asymmetries; a bayesian analysis of a class of tree structured multivariate GARCH models

Dellaportas, P and Vrontos, I.D

Modelling volatility asymmetries; a bayesian analysis of a class of tree structured multivariate GARCH models 2007 - 2007 - 503 - 520 V. 10 Issue. 3

Subjects--Topical Terms:
Econometrics

Subjects--Index Terms: Autoregressive conditional heteroscedasticity;Bayesian inference;Markov chain;Monte carlo;Tree structured models

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