Bayesian Semiparametric Multivariate Realized GARCH Modeling
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DOI: 10.1002/for.3285
Abstract: This paper introduces a novel Bayesian semiparametric multivariate GARCH framework for modeling returns and realized covariance, as well as approximating their joint unknown conditional density. We extend existing parametric multivariate realized GARCH models by incorporating… read more here.
Keywords: multivariate; semiparametric multivariate; garch; bayesian semiparametric ... See more keywords