BAYESIAN INFERENCE ON MULTIVARIATE ARCH MODELS / MODELAGEM BAYESIANA MCMC PARA UM PROCESSO ARCH MULTIVARIADO / MODELOS BAYESIANOS MCMC PARA UN PROCESO ARCH MULTIVARIADO

AUTOR(ES)

LUIS ALBERTO NAVARRO HUAMANI

DATA DE PUBLICAÇÃO

2001

RESUMO

The objective of this work is to develop Metropolis-Hasting for strategy Bayesian Inference, based on a Multivariate ARCH model with BEKK representation. In complex problems, such as the multivariate generalization of ARCH/GARCH structures, the inference process in complicated, due to the large number of parameters involved and to the restrictions they must satisfy. We propose Metropolis- Hastings structure to provide inference, in a Bayesian framework, for a multivariate ARCH model with BEKK representation.

ASSUNTO(S)

metropolis-hastings bayesian inference metropolis-hastings arch inferencia bayesiana arch

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