Selection of Multivariate Stochastic Volatility Models via Bayesian Stochastic Search (Q3089153)
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scientific article; zbMATH DE number 5942132
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| English | Selection of Multivariate Stochastic Volatility Models via Bayesian Stochastic Search |
scientific article; zbMATH DE number 5942132 |
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Selection of Multivariate Stochastic Volatility Models via Bayesian Stochastic Search (English)
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24 August 2011
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Bayesian VAR
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Markov chain Monte Carlo
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model selection
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particle filter
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0.9353291
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0.9140382
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0.90654105
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0.9061168
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0.89604974
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0.89604974
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0.8859915
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