Bayesian multivariate GARCH models with dynamic correlations and asymmetric error distributions

被引:23
|
作者
Fioruci, Jose A. [1 ]
Ehlers, Ricardo S. [1 ]
Andrade Filho, Marinho G. [1 ]
机构
[1] Univ Sao Paulo, Dept Appl Math & Stat, Sao Carlos, SP, Brazil
基金
巴西圣保罗研究基金会;
关键词
multivariate GARCH; Markov chain Monte Carlo; Metropolis-Hastings; multivariate skewed distributions; 62F15; 62H12; CONDITIONAL CORRELATION; EXCHANGE-RATES;
D O I
10.1080/02664763.2013.839635
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
The main goal in this paper is to develop and apply stochastic simulation techniques for GARCH models with multivariate skewed distributions using the Bayesian approach. Both parameter estimation and model comparison are not trivial tasks and several approximate and computationally intensive methods (Markov chain Monte Carlo) will be used to this end. We consider a flexible class of multivariate distributions which can model both skewness and heavy tails. Also, we do not fix tail behaviour when dealing with fat tail distributions but leave it subject to inference.
引用
收藏
页码:320 / 331
页数:12
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