Bayesian multivariate Garch models with dynamic correlations and asymmetric error distributions (2012)
- Authors:
- USP affiliated authors: ANDRADE FILHO, MARINHO GOMES DE - ICMC ; EHLERS, RICARDO SANDES - ICMC
- Unidade: ICMC
- Subjects: PROCESSOS ESTOCÁSTICOS; INFERÊNCIA BAYESIANA; INFERÊNCIA ESTATÍSTICA
- Language: Inglês
- Imprenta:
- Publisher: ICMC-USP
- Publisher place: São Carlos
- Date published: 2012
- Source:
- ISSN: 0103-2577
-
ABNT
FIORUCI, José Augusto e EHLERS, Ricardo Sandes e ANDRADE, Marinho Gomes de. Bayesian multivariate Garch models with dynamic correlations and asymmetric error distributions. . São Carlos: ICMC-USP. Disponível em: https://repositorio.usp.br/directbitstream/489936d2-cf27-4602-898c-995604d068a1/NOTAS_ICMC_SERIE_EST_87_2012.pdf. Acesso em: 19 abr. 2024. , 2012 -
APA
Fioruci, J. A., Ehlers, R. S., & Andrade, M. G. de. (2012). Bayesian multivariate Garch models with dynamic correlations and asymmetric error distributions. São Carlos: ICMC-USP. Recuperado de https://repositorio.usp.br/directbitstream/489936d2-cf27-4602-898c-995604d068a1/NOTAS_ICMC_SERIE_EST_87_2012.pdf -
NLM
Fioruci JA, Ehlers RS, Andrade MG de. Bayesian multivariate Garch models with dynamic correlations and asymmetric error distributions [Internet]. 2012 ;[citado 2024 abr. 19 ] Available from: https://repositorio.usp.br/directbitstream/489936d2-cf27-4602-898c-995604d068a1/NOTAS_ICMC_SERIE_EST_87_2012.pdf -
Vancouver
Fioruci JA, Ehlers RS, Andrade MG de. Bayesian multivariate Garch models with dynamic correlations and asymmetric error distributions [Internet]. 2012 ;[citado 2024 abr. 19 ] Available from: https://repositorio.usp.br/directbitstream/489936d2-cf27-4602-898c-995604d068a1/NOTAS_ICMC_SERIE_EST_87_2012.pdf - Copula-Garch model selection: a bayesian approach
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