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scientific article; zbMATH DE number 7387627

Language	Label	Description	Also known as
English	No label defined	scientific article; zbMATH DE number 7387627

Statements

scholarly article

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Jouchi Nakajima

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publication date

27 August 2021

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describes a project that uses

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MaRDI profile type

MaRDI publication profile

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Multivariate Stochastic Volatility: A Review

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Generalized autoregressive conditional heteroscedasticity

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Analysis of high dimensional multivariate stochastic volatility models

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Multivariate Stochastic Volatility

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Model uncertainty

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Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

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Bayesian stochastic search for VAR model restrictions

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The Wishart autoregressive process of multivariate stochastic volatility

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Matrix exponential stochastic volatility with cross leverage

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Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models

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Factor stochastic volatility with time varying loadings and Markov switching regimes

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Bayesian analysis of multivariate stochastic volatility with skew return distribution

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Skew selection for factor stochastic volatility models

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Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's \(t\)-distribution

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Block sampler and posterior mode estimation for asymmetric stochastic volatility models

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Stochastic volatility with leverage: fast and efficient likelihood inference

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Joint mean-covariance models with applications to longitudinal data: unconstrained parameterisation

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Time Varying Structural Vector Autoregressions and Monetary Policy

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Likelihood analysis of non-Gaussian measurement time series

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Parsimonious Covariance Matrix Estimation for Longitudinal Data

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A multi-move sampler for estimating non-Gaussian time series models: Comments on Shephard & Pitt (1997)

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On leverage in a stochastic volatility model

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Identifiers

10.11329/jjssj.50.403

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:5011566

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