Bayesian inference of multivariate rotated GARCH models with skew returns

Iqbal, F. and Triantafyllopoulos, K. orcid.org/0000-0002-4144-4092 (2019) Bayesian inference of multivariate rotated GARCH models with skew returns. Communications in Statistics - Simulation and Computation. ISSN 0361-0918

Abstract

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Authors/Creators:
Copyright, Publisher and Additional Information: © 2019 Taylor & Francis. This is an author-produced version of a paper accepted for publication in Communications in Statistics - Simulation and Computation. Uploaded in accordance with the publisher's self-archiving policy.
Keywords: Volatility; skew returns; GARCH; BEKK; rotated BEKK; multivariate time series; portfolio allocation
Dates:
  • Accepted: 13 May 2019
  • Published (online): 29 May 2019
Institution: The University of Sheffield
Academic Units: The University of Sheffield > Faculty of Science (Sheffield) > School of Mathematics and Statistics (Sheffield)
Depositing User: Symplectic Sheffield
Date Deposited: 28 May 2019 10:47
Last Modified: 29 May 2020 00:38
Status: Published online
Publisher: Taylor & Francis
Refereed: Yes
Identification Number: https://doi.org/10.1080/03610918.2019.1620272

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