Details

Title

Hybrid MSV-MGARCH Models - General Remarks and the GMSF-SBEKK Specification

Journal title

Central European Journal of Economic Modelling and Econometrics

Yearbook

2016

Numer

No 4

Publication authors

Keywords

Bayesian econometrics, multivariate volatility models,, MGARCH processes, MSV processes, financial markets, commodity markets

Divisions of PAS

Nauki Humanistyczne i Społeczne

Publisher

Oddział PAN w Łodzi

Identifier

ISSN - 2080-0886, ISSN online - 2080-119X

DOI

10.24425/cejeme.2016.119198

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