M. C. Ausín

Latest

• Structured factor copulas for modeling the systemic risk of European and United States banks
• Copula stochastic volatility in oil returns: Approximate Bayesian computation with volatility prediction
• Variational inference for high dimensional structured factor copulas
• Parallel Bayesian inference for high-dimensional dynamic factor copulas
• Particle learning for Bayesian semi-parametric stochastic volatility model
• A Bayesian non-parametric approach to asymmetric dynamic conditional correlation model with applications to portfolio selection
• Bayesian inference methods for univariate and multivariate GARCH models: A survey
• A semiparametric Bayesian approach to the analysis of financial time series with applications to value at risk estimation
• The Gaussian mixture conditional correlation model: Parameter estimation, value at risk calculation and portfolio selection
• Bayesian estimation of the Gaussian mixture GARCH model