Bayesian inference of multivariate rotated GARCH models with skew returns.

Farhat Iqbal Kostas Triantafyllopoulos

Published in: Commun. Stat. Simul. Comput. (2021)

Keyphrases

bayesian inference
garch model
multivariate time series
stock market
prior information
probabilistic model
hyperparameters
prior distribution
regression model
heavy tailed
temporal data
sar images
temporal patterns
dimension reduction
data sets
generative model
particle filter
graphical models
data streams