دانلود کتاب A Bayesian approach to relaxing parameter restrictions in multivariate GARCH models

Name: A Bayesian approach to relaxing parameter restrictions in multivariate GARCH models
Availability: InStock
Author: Hudson B. G.

by Hudson B. G., Gerlach R. H.

عنوان فارسی: رویکرد بیزی برای آرامش بخش پارامتر محدودیت در مدل های چند متغيره GARCH
سال: 2007
زبان: انگلیسی
تعداد صفحه (نسخه چاپی - نسخه الکترونیکی): 22-22
نوع فایل: PDF دانلود نرم افزار مطالعه
حجم: 0.66 مگابایت

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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 restrictions. A VECH model specification is proposed allowing both parsimony and parameter interpretability, opposing existing specifications that achieve only one of these. A Markov chain Monte Carlo scheme, employing Metropolis-Hastings and delayed rejection, is designed. A simulation study shows favourable estimation and improved coverage of intervals, compared with classical methods. Finally, some US and UK financial stock returns are analysed.

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