18 citations · 36 across the 14 of their papers we have counts for
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stat.CO2014★ 6 cited
BayesDccGarch - An Implementation of Multivariate GARCH DCC Models
Jose A. Fioruci, Ricardo S. Ehlers, Francisco Louzada
Multivariate GARCH models are important tools to describe the dynamics of multivariate times series of financial returns. Nevertheless, these models have been much less used in pra…
stat.CO2014★ 8 cited
Bayesian Inference for Generalized Extreme Value Distributions via Hamiltonian Monte Carlo
Marcelo Hartmann, Ricardo Ehlers
In this paper we propose to evaluate and compare Markov chain Monte Carlo (MCMC) methods to estimate the parameters in a generalized extreme value model. We employed the Bayesian a…