KRISHI
ICAR RESEARCH DATA REPOSITORY FOR KNOWLEDGE MANAGEMENT
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Please use this identifier to cite or link to this item:
http://krishi.icar.gov.in/jspui/handle/123456789/44665Full metadata record
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Achal Lama | en_US |
| dc.contributor.author | G K Jha | en_US |
| dc.contributor.author | K N Singh | en_US |
| dc.contributor.author | Bishal Gurung | en_US |
| dc.date.accessioned | 2021-01-11T09:37:55Z | - |
| dc.date.available | 2021-01-11T09:37:55Z | - |
| dc.date.issued | 2019-10-01 | - |
| dc.identifier.citation | Not Available | en_US |
| dc.identifier.issn | Not Available | - |
| dc.identifier.uri | http://krishi.icar.gov.in/jspui/handle/123456789/44665 | - |
| dc.description | The Multivariate Generalized Autoregressive Conditional Heteroskedasticity (MGARCH) models are used for modelling the volatile multivariate data sets. In this package a variant of MGARCH called BEKK (Baba, Engle, Kraft, Kroner) proposed by Engle and Kroner (1995) <http://www.jstor.org/stable/3532933> has been used to estimate the bivariate time series data using Bayesian technique. | en_US |
| dc.description.abstract | The Multivariate Generalized Autoregressive Conditional Heteroskedasticity (MGARCH) models are used for modelling the volatile multivariate data sets. In this package a variant of MGARCH called BEKK (Baba, Engle, Kraft, Kroner) proposed by Engle and Kroner (1995) <http://www.jstor.org/stable/3532933> has been used to estimate the bivariate time series data using Bayesian technique. | en_US |
| dc.description.sponsorship | Not Available | en_US |
| dc.language.iso | English | en_US |
| dc.publisher | CRAN | en_US |
| dc.relation.ispartofseries | Not Available; | - |
| dc.subject | Bayesian | en_US |
| dc.subject | Multivariate time series | en_US |
| dc.subject | BEKK | en_US |
| dc.title | BayesBEKK: Bayesian Estimation of Bivariate Volatility Model | en_US |
| dc.title.alternative | Not Available | en_US |
| dc.type | Software Code or Macro | en_US |
| dc.publication.projectcode | Not Available | en_US |
| dc.publication.journalname | Not Available | en_US |
| dc.publication.volumeno | Not Available | en_US |
| dc.publication.pagenumber | Not Available | en_US |
| dc.publication.divisionUnit | Not Available | en_US |
| dc.publication.sourceUrl | https://cran.r-project.org/web/packages/BayesBEKK/index.html | en_US |
| dc.publication.authorAffiliation | ICAR::Indian Agricultural Statistics Research Institute | en_US |
| dc.publication.authorAffiliation | ICAR::Indian Agricultural Research Institute | en_US |
| dc.ICARdataUseLicence | http://krishi.icar.gov.in/PDF/ICAR_Data_Use_Licence.pdf | en_US |
| dc.publication.naasrating | Not Available | - |
| Appears in Collections: | AEdu-IASRI-Publication | |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| BayesBEKK.pdf | 80 kB | Adobe PDF | View/Open |
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