Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors (Q1927147)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors |
scientific article |
Statements
Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors (English)
0 references
30 December 2012
0 references
asymmetry
0 references
heavy-tailed error
0 references
leverage effect
0 references
Markov chain Monte Carlo
0 references
multi-move sampler
0 references
multivariate stochastic volatility
0 references
0 references
0 references
