41 search results - page 1 / 9 » Model and distribution uncertainty in multivariate GARCH est... |
CSDA
2010
13 years 2 months ago
2010
CSDA
2010
13 years 5 months ago
2010
In empirical work on multivariate financial time series, it is common to postulate a Multivariate GARCH model. We show that the popular Gaussian quasi-maximum likelihood estimator...
MA
2010
Springer
13 years 3 months ago
2010
Springer
We consider Bayesian analysis of data from multivariate linear regression models whose errors have a distribution that is a scale mixture of normals. Such models are used to analy...
CSDA
2010
13 years 5 months ago
2010
This paper deals with the analysis of temporal dependence in multivariate highfrequency time series data. The dependence structure between the marginal series is modelled through ...
SIGMOD
2008
ACM
14 years 5 months ago
2008
ACM
To deal with data uncertainty, existing probabilistic database systems augment tuples with attribute-level or tuple-level probability values, which are loaded into the database al...