Multivariate Stochastic Volatility Models with Correlated Errors

DOI10.1080/07474930600713309zbMath1113.62127MaRDI QIDQ5485105

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Publication date: 28 August 2006

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474930600713309

zbMATH Keywords

Markov chain Monte Carlo; Bayesian estimation; leverage; correlation matrix; model averaging

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

62F15: Bayesian inference

65C40: Numerical analysis or methods applied to Markov chains

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Cites Work

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