A Bayesian approach to relaxing parameter restrictions in multivariate GARCH models

We propose a Bayesian prior formulation for a multivariate GARCH model that expands the allowable parameter space, directly enforcing both necessary and sufficient conditions for positive definiteness and covariance stationarity. This extends the standard approach of enforcing unnecessary parameter...

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Veröffentlicht in:	Test (Madrid, Spain) Spain), 2008-11, Vol.17 (3), p.606-627
Hauptverfasser:	Hudson, Brent G., Gerlach, Richard H.
Format:	Artikel
Sprache:	eng
Schlagworte:	Bayesian analysis Economics Finance Insurance Management Markov analysis Mathematics and Statistics Monte Carlo simulation Original Paper Restrictions Statistical Theory and Methods Statistics Statistics for Business Stochastic models Studies
Online-Zugang:	Volltext
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