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Faculty of Science and Tech...
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CHOW Wai Yip
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LI Qiong
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2020
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2008
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Auxiliary variable MCMC alg...
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Multivariate GARCH
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Reversible jump MCMC
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coloured G-Wishart distribu...
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Journal of Empirical Finance
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Bayesian model selection approach for coloured graphical Gaussian models
Journal article
Journal of Statistical Computation and Simulation,2020, volume: 90, issue: 14, pages: 2631-2654
Authors:
Li, Qiong
;
Gao, Xin
;
Massam, Hélène
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View/Download：6/0
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Submit date：2022/05/23
Auxiliary variable MCMC algorithm
coloured G-Wishart distribution
double reversible jump
Volatility of stock price as predicted by patent data: An MGARCH perspective
Journal article
Journal of Empirical Finance,2008, volume: 15, issue: 1, pages: 64-79
Authors:
Chow, William W.
;
Fung, Michael K.
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View/Download：6/0
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Submit date：2022/03/21
Innovation, Patents
Multivariate GARCH
Reversible jump MCMC
Value-at-Risk
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