Dimitris N Politis

Latest

• Bayesian analysis of the unobserved arch model
• A full-factor multivariate GARCH model
• Inference for some multivariate ARCH and GARCH models
• An application of three bivariate time-varying volatility models
• Full Bayesian inference for GARCH and EGARCH models
• A Markov chain Monte Carlo convergence diagnostic using subsampling