Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison (Q5485109)

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scientific article; zbMATH DE number 5050409
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Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison
scientific article; zbMATH DE number 5050409

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    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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