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
相关论文
共 50 条
  • [1] Application of Bayesian methods in the analysis of dynamic conditional correlation multivariate GARCH models
    Gudeta, Dechassa Obsi
    INTERNATIONAL JOURNAL OF COMPUTATIONAL ECONOMICS AND ECONOMETRICS, 2025, 15 (1-2) : 116 - 146
  • [2] Estimation of multivariate asymmetric power GARCH models
    Boubacar Mainassara, Y.
    Kadmiri, O.
    Saussereau, B.
    JOURNAL OF MULTIVARIATE ANALYSIS, 2022, 192
  • [3] Bayesian inference of multivariate-GARCH-BEKK models
    Livingston, G. C. Jr Jr
    Nur, Darfiana
    STATISTICAL PAPERS, 2023, 64 (05) : 1749 - 1774
  • [4] Bayesian inference of multivariate-GARCH-BEKK models
    G. C. Livingston
    Darfiana Nur
    Statistical Papers, 2023, 64 : 1749 - 1774
  • [5] Modelling asymmetric volatility dynamics by multivariate BL-GARCH models
    Storti, Giuseppe
    STATISTICAL METHODS AND APPLICATIONS, 2008, 17 (02) : 251 - 274
  • [6] Modelling asymmetric volatility dynamics by multivariate BL-GARCH models
    Giuseppe Storti
    Statistical Methods and Applications, 2008, 17 : 251 - 274
  • [7] BAYESIAN INFERENCE METHODS FOR UNIVARIATE AND MULTIVARIATE GARCH MODELS: A SURVEY
    Virbickaite, Audrone
    Concepcion Ausin, M.
    Galeano, Pedro
    JOURNAL OF ECONOMIC SURVEYS, 2015, 29 (01) : 76 - 96
  • [8] A Bayesian approach to relaxing parameter restrictions in multivariate GARCH models
    Hudson, Brent G.
    Gerlach, Richard H.
    TEST, 2008, 17 (03) : 606 - 627
  • [9] A Bayesian approach to relaxing parameter restrictions in multivariate GARCH models
    Brent G. Hudson
    Richard H. Gerlach
    TEST, 2008, 17
  • [10] Currency hedging strategies using dynamic multivariate GARCH
    Chang, Chia-Lin
    Gonzalez-Serrano, Lydia
    Jimenez-Martin, Juan-Angel
    MATHEMATICS AND COMPUTERS IN SIMULATION, 2013, 94 : 164 - 182