Selection of Multivariate Stochastic Volatility Models via Bayesian Stochastic Search (Q3089153)

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Selection of Multivariate Stochastic Volatility Models via Bayesian Stochastic Search
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    Selection of Multivariate Stochastic Volatility Models via Bayesian Stochastic Search (English)
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    24 August 2011
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    Bayesian VAR
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    Markov chain Monte Carlo
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    model selection
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    particle filter
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