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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