Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison
From MaRDI portal
Recommendations
Cites work
- An introduction to modern Bayesian econometrics.
- AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
- Bayesian Measures of Model Complexity and Fit
- BUGS for a Bayesian analysis of stochastic volatility models
- Correlated ARCH (CorrARCH): modelling the time-varying conditional correlation between financial asset returns
- Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study
- scientific article; zbMATH DE number 48318 (Why is no real title available?)
- scientific article; zbMATH DE number 3444596 (Why is no real title available?)
- Marginal Likelihood from the Gibbs Output
- Monte Carlo Likelihood Estimation for Three Multivariate Stochastic Volatility Models
- Multivariate Stochastic Variance Models
- Multivariate Stochastic Volatility Models with Correlated Errors
- On leverage in a stochastic volatility model
- Stochastic volatility in asset prices. Estimation with simulated maximum likelihood
- Stochastic volatility: Bayesian computation using automatic differentiation and the extended Kalman filter
- Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
- Theory & Methods: Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method
Cited in
(55)- Bayesian analysis of stochastic volatility models with mixture-of-normal distributions
- Multivariate Wishart stochastic volatility and changes in regime
- A flexible and automated likelihood based framework for inference in stochastic volatility models
- Matrix exponential stochastic volatility with cross leverage
- Testing for structural breaks in factor copula models
- On asymmetric generalised t stochastic volatility models
- Fourier inference for stochastic volatility models with heavy-tailed innovations
- A Bayesian analysis based on multivariate stochastic volatility model: evidence from Green stocks
- Bayesian analysis of heavy-tailed market microstructure model and its application in stock markets
- Proxy vector autoregressions in a data-rich environment
- Tails of correlation mixtures of elliptical copulas
- Multivariate stochastic volatility with Bayesian dynamic linear models
- An application of three bivariate time-varying volatility models
- Multivariate stochastic volatility estimation using particle filters
- Bayesian analysis of asymmetric multivariate stochastic volatility models with applications to TOPIX sector indices
- Multi-variate stochastic volatility modelling using Wishart autoregressive processes
- The structure of dynamic correlations in multivariate stochastic volatility models
- A Stochastic Simulation Approach to Model Selection for Stochastic Volatility Models
- Selection of Multivariate Stochastic Volatility Models via Bayesian Stochastic Search
- Simulation-based estimation methods for financial time series models
- Efficient Bayesian inference for stochastic time-varying copula models
- A full-factor multivariate GARCH model
- Time series analysis with time varying covariances via latent factors with stochastic volatility
- The Bickel-Rosenblatt test for continuous time stochastic volatility models
- Bayesian estimation and comparison of MGARCH and MSV models via WinBUGS
- Non-parametric estimation of conditional tail expectation for long-horizon returns
- On the relationship between uhlig extended and beta-Bartlett processes
- A survey on time-varying copulas: specification, simulations, and application
- The copula directional dependence by stochastic volatility models
- Stochastic volatility models for exchange rates and their estimation using quasi-maximum-likelihood methods: an application to the South African Rand
- Multivariate Stochastic Volatility: A Review
- Multivariate Stochastic Volatility Models with Correlated Errors
- Monte Carlo Likelihood Estimation for Three Multivariate Stochastic Volatility Models
- Bayesian analysis of multivariate stochastic volatility with skew return distribution
- Stochastic modelling of volatility and inter-relationships in the Australian electricity markets
- Prioritizing of volatility models: a computational analysis using data envelopment analysis
- Bayesian analysis of structural credit risk models with microstructure noises
- Macroeconomic forecasting and variable ordering in multivariate stochastic volatility models
- Comparing stochastic volatility specifications for large Bayesian VARs
- Review of statistical approaches for modeling high-frequency trading data
- Ranking econometric techniques using geometrical benefit of doubt
- Bayesian analysis of spherically parameterized dynamic multivariate stochastic volatility models
- High-Dimensional Dynamic Covariance Matrices With Homogeneous Structure
- A Bayesian Markov-Switching Correlation Model for Contagion Analysis on Exchange Rate Markets
- Sequential estimation of multivariate factor stochastic volatility models
- Multivariate stochastic volatility with co-heteroscedasticity
- Multivariate stochastic volatility models based on generalized Fisher transformation
- Hierarchical modeling of irregularly spaced financial returns
- Dependence properties of stochastic volatility models
- Functional diffusion driven stochastic volatility model
- A multivariate stochastic volatility model with generalized factor dynamics
- Hierarchical modeling of multiple synchronized irregularly spaced financial returns
- Efficient estimation of a multivariate multiplicative volatility model
- Comparison of MCMC methods for estimating stochastic volatility models
- A multivariate threshold stochastic volatility model
This page was built for publication: Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5485109)
