JOURNAL ARTICLE
Bayesian semiparametric multivariate GARCH modeling
Year: 2013 Journal: Journal of Econometrics Vol: 176 (1)Pages: 3-17 Publisher: Elsevier BV
Keywords:
Multivariate statistics Econometrics Autoregressive conditional heteroskedasticity Markov chain Monte Carlo Bayesian probability Dirichlet process Mathematics Dirichlet distribution Multivariate normal distribution Semiparametric model Parametric statistics Conjugate prior Prior probability Statistics Computer science Nonparametric statistics
Metrics
48
Cited By
8.49
FWCI (Field Weighted Citation Impact)
41
Refs
0.98
Citation Normalized Percentile
Is in top 1%
Is in top 10%
Citation History
Topics
Bayesian Methods and Mixture Models
Physical Sciences → Computer Science → Artificial Intelligence
Financial Risk and Volatility Modeling
Social Sciences → Economics, Econometrics and Finance → Finance
Statistical Methods and Inference
Physical Sciences → Mathematics → Statistics and Probability
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