Analysis of high dimensional multivariate stochastic volatility models (Q278181)
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scientific article; zbMATH DE number 6575910
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| default for all languages | No label defined |
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| English | Analysis of high dimensional multivariate stochastic volatility models |
scientific article; zbMATH DE number 6575910 |
Statements
Analysis of high dimensional multivariate stochastic volatility models (English)
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2 May 2016
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Bayesian inference
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Markov chain Monte Carlo
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marginal likelihood
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Metropolis-Hastings algorithm
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particle filter
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simulation
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state space model
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stochastic jumps
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Student-\(t\) distribution
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volatility
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value-at-risk
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risk measurement
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forecasting
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time-varying correlations
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0.9426919
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0.92716134
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0.9181266
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0.90993005
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0.90794754
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