[Forum SIS] Avviso di seminario: Ekici a DISMEQ (Dipartimento di Statististica e Metodi Quantitativi, Milano-Bicocca)

[Fulvia Pennoni]

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Dipartimento di Statistica e Metodi Quantitativi
Via Bicocca degli Arcimboldi, 8 - 20126 Milano
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“Sampling Strategy for Bayesian Multivariate Garch Modeling”

Prof. Oya Ekici
Instanbul Univerisity
Department of Business Administration Quantitive Methods

Venerdi’ 26 Febbraio ore 11.00  Ed. U7  IV piano  (stanza 4064)
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Abstract:

In this study, as a tool of investigating volatility, correlation 
transmission and spillover effects in series, Bayesian computation of 
multivariate garch models are applied. We suggested a sampling strategy 
for the model and have seen that convergency is achieved. Findings 
showed that MCMC mixing well and parameters are estimated under reliable 
conditions.

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Si allega la locandina.

Cordiali saluti

Fulvia Pennoni

-- 
Fulvia Pennoni
Department of Statistics and Quantitative Methods
University of Milano-Bicocca
http://www.statistica.unimib.it/utenti/pennoni/

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