Displaying 1 result from an estimated 1 matches for "ucsd_garch".
2007 Oct 23
1
multivariate Stochastic Volatility and GARCH
Dear everyone,
i`m a german economics student, writing my master´s thesis about
"Multivariate Volatility Models". After having read about theoretical
aspects of Multivariate GARCH ans Stochastic Volatility Models, I would like
to compare DCC-GARCH and DC-SV with help of an empirical application. I
figuered out that one has to use MCMC-simulation-methods for that. Some days
ago I