18-005/III - Bayesian Analysis of Realized Matrix-Exponential GARCH Models

• Authors
  Manabu Asai, Soka University, Japan; Michael McAleer, Asia University, Taiwan; University of Sydney Business School, Australia; Erasmus School of Economics, Erasmus University Rotterdam, The Netherlands; Complutense University of Madrid, Spain; Yokohama National University, Japan
• Publication date
  January 17, 2018

• Keywords
  C11, C32
• JEL
  Multivariate GARCH, Realized Measures, Matrix-Exponential, Bayesian Markov Chain Monte Carlo method, Asymmetry