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http://krishi.icar.gov.in/jspui/handle/123456789/44665| Title: | BayesBEKK: Bayesian Estimation of Bivariate Volatility Model |
| Other Titles: | Not Available |
| Authors: | Achal Lama G K Jha K N Singh Bishal Gurung |
| ICAR Data Use Licennce: | http://krishi.icar.gov.in/PDF/ICAR_Data_Use_Licence.pdf |
| Author's Affiliated institute: | ICAR::Indian Agricultural Statistics Research Institute ICAR::Indian Agricultural Research Institute |
| Published/ Complete Date: | 2019-10-01 |
| Project Code: | Not Available |
| Keywords: | Bayesian Multivariate time series BEKK |
| Publisher: | CRAN |
| Citation: | Not Available |
| Series/Report no.: | Not Available; |
| Abstract/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. |
| 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. |
| ISSN: | Not Available |
| Type(s) of content: | Software Code or Macro |
| Sponsors: | Not Available |
| Language: | English |
| Name of Journal: | Not Available |
| NAAS Rating: | Not Available |
| Volume No.: | Not Available |
| Page Number: | Not Available |
| Name of the Division/Regional Station: | Not Available |
| Source, DOI or any other URL: | https://cran.r-project.org/web/packages/BayesBEKK/index.html |
| URI: | http://krishi.icar.gov.in/jspui/handle/123456789/44665 |
| 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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