Selection of Multivariate Stochastic Volatility Models via Bayesian Stochastic Search (Q3089153)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | 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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