Audrone Virbickaite

  • Citations Per Year
Learn More
This survey reviews the existing literature on the most relevant Bayesian inference methods for univariate and multivariate GARCH models. The advantages and drawbacks of each procedure are outlined as well as the advantages of the Bayesian approach versus classical procedures. The paper makes emphasis on recent Bayesian non-parametric approaches for GARCH(More)
A Bayesian non-parametric approach for efficient risk management is proposed. A dynamic model is considered where optimal portfolio weights and hedging ratios are adjusted at each period. The covariance matrix of the returns is described using an asymmetric MGARCH model. Restrictive parametric assumptions for the errors are avoided by relying on Bayesian(More)
  • 1