Bayesian estimation of a dynamic conditional correlation model with multivariate Skew-Slash innovations

Keywords

Kurtosis, Econometrics, Gibbs sampling, Multivariate statistics, Skew

References

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Cited by

• Bayesian multivariate GARCH models with dynamic correlations and asymmetric error distributionsJosé Augusto Fioruci, Ricardo S. Ehlers, Meirelles Filho — 2014
• On the Performances of Dynamic Conditional Correlation Models in the Sovereign CDS Market and the Corresponding Bond MarketSaker Sabkha, C. Peretti — 2018

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