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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 J5802 2007 - 2007 - 503-520 V. 10 Issue. 3

Subjects--Topical Terms:
Econometrics

Subjects--Index Terms: Bayesian inference;Markov chain;Mantre Carlo;Stochastic search;Tree structured models;Autoregressive conditional hheteroscedasticity;

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