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Modeling fat tails in stock returns: a multivariate stable-GARCH approach

โœ Scribed by Matteo Bonato

Book ID
120743733
Publisher
Springer
Year
2011
Tongue
English
Weight
548 KB
Volume
27
Category
Article
ISSN
0943-4062

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We propose a Bayesian prior formulation for a multivariate GARCH model that expands the allowable parameter space, directly enforcing both necessary and sufficient conditions for positive definiteness and covariance stationarity. This extends the standard approach of enforcing unnecessary parameter