Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison

DOI10.1080/07474930600713465zbMath1113.62133WikidataQ123417531 ScholiaQ123417531MaRDI QIDQ5485109

Renate Meyer, Jun Yu

Publication date: 28 August 2006

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

Full work available at URL: https://ink.library.smu.edu.sg/soe_research/819

zbMATH Keywords

heavy-tailed distributions; factors; MCMC; DIC; time-varying correlations; multivariate stochastic volatility; Granger causality in volatility

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

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

62F15: Bayesian inference

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Uses Software

• WinBUGS
• BUGS
• FinTS

Cites Work

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