37 citations · 37 across the 1 of their papers we have counts for
2 papers
math.ST2014★ 37 cited
Bayesian Inference Methods for Univariate and Multivariate GARCH Models: a Survey
Audronė Virbickaitė, M. Concepción Ausín, Pedro Galeano
This survey reviews the existing literature on the most relevant Bayesian inference methods for univariate and multivariate GARCH models. The advantages and drawbacks of each proce…
q-fin.PM2013
A Bayesian Non-Parametric Approach to Asymmetric Dynamic Conditional Correlation Model With Application to Portfolio Selection
Audrone Virbickaite, M. Concepción Ausín, Pedro Galeano
We propose a Bayesian non-parametric approach for modeling the distribution of multiple returns. In particular, we use an asymmetric dynamic conditional correlation (ADCC) model to…