Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors (Q1927147)

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scientific article; zbMATH DE number 6119778
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    Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors
    scientific article; zbMATH DE number 6119778

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      Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors (English)
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      30 December 2012
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      asymmetry
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      heavy-tailed error
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      leverage effect
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      Markov chain Monte Carlo
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      multi-move sampler
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      multivariate stochastic volatility
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