Navegando por Autor "Ehlers, Ricardo S."
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- ItemBayesian multivariate GARCH models with dynamic correlations and asymmetric error distributions.(2012) Fioruci, José; Ehlers, Ricardo S.; Andrade Filho, Marinho Gomes deThe main goal in this paper is to develop and apply stochastic simulation techniques for GARCH models with multivariate skewed distributions using the Bayesian approach.
- ItemCopula-GARCH model selection: a Bayesian approach.(2012) Rossi, João Luiz; Ehlers, Ricardo S.; Andrade Filho, Marinho Gomes deWe study multivariate time series models where the dependence structure between the series is modelled through copulas.