A Bayesian approach to relaxing parameter restrictions in multivariate GARCH models

Brent Hudson () and Richard Gerlach ()

TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 2008, vol. 17, issue 3, 606-627

Keywords: Dynamic covariance; Stationarity; Positive definite; Markov chain Monte Carlo; Stock returns; 62F15 (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (11)

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DOI: 10.1007/s11749-007-0056-8

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