TY  - RPRT
AU  - Asai, Manabu
AU  - McAleer, Michael
PY  - 2018
SN  - 2341-2356
UR  - https://hdl.handle.net/20.500.14352/17409
AB  - The paper develops a new realized matrix-exponential GARCH (MEGARCH) model, which uses the information of returns and realized measure of co-volatility matrix simultaneously. The paper also considers an alternative multivariate asymmetric function to...
LA  - eng
A3  - Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE)
KW  - Multivariate GARCH
KW  - Realized Measure
KW  - Matrix-Exponential
KW  - Bayesian Markov chain Monte Carlo method
KW  - Asymmetry.
TI  - Bayesian analysis of realized matrix-exponentialGARCH models
TY  - technical report
VL  - 2018
ER  -