Bayesian semiparametric multivariate stochastic volatility with application

DOI10.1080/07474938.2020.1761152MaRDI QIDQ5861010zbMATH OpenOpenAlexFDO

Authors Martina Danielova Zaharieva, Mark Trede, Bernd Wilfling

Publication date 4 March 2022

Published in Econometric Reviews (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1080/07474938.2020.1761152

zbMATH Keywords

Bayesian nonparametricsDirichlet process mixtureMarkov chain Monte Carlostock-market co-movements

Mathematics Subject Classification ID

Bayesian inference (62F15) Nonparametric inference (62G99) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Bayesian semiparametric multivariate GARCH modeling
• Analysis of high dimensional multivariate stochastic volatility models
• Bayesian semiparametric stochastic volatility modeling
• Multivariate stochastic volatility with Bayesian dynamic linear models
• Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture

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Cited in

(6)

• Bayesian semiparametric multivariate GARCH modeling
• Multivariate stochastic volatility with Bayesian dynamic linear models
• Estimating a semiparametric asymmetric stochastic volatility model with a Dirichlet process mixture
• Selection of Multivariate Stochastic Volatility Models via Bayesian Stochastic Search
• Comparing stochastic volatility specifications for large Bayesian VARs
• Bayesian analysis of spherically parameterized dynamic multivariate stochastic volatility models

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Uses Software

• bvarsv

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