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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| English | Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors |
scientific article; zbMATH DE number 6119778 |
Statements
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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0.916853129863739
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0.8324634432792664
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0.82846599817276
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0.8186965584754944
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0.8186019062995911
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