Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison (Q5485109)
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scientific article; zbMATH DE number 5050409
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison |
scientific article; zbMATH DE number 5050409 |
Statements
Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison (English)
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28 August 2006
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DIC
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factors
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Granger causality in volatility
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heavy-tailed distributions
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MCMC
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multivariate stochastic volatility
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time-varying correlations
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