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20122021
most citedCOVID-19 spreading in financial networks: A semiparametric matrix regression model

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math.ST2012

Efficient Gibbs Sampling for Markov Switching GARCH Models

Monica Billio, Roberto Casarin, Anthony Osuntuyi

We develop efficient simulation techniques for Bayesian inference on switching GARCH models. Our contribution to existing literature is manifold. First, we discuss different multi-…