A Bayesian analysis based on multivariate stochastic volatility model: evidence from Green stocks

DOI10.1007/S10878-022-00936-0OpenAlexW4310214352MaRDI QIDQ2106870FDOQ2106870

Authors: Yanyan Li 

Publication date: 29 November 2022

Published in: Journal of Combinatorial Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10878-022-00936-0

Recommendations

• Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison
• Bayesian analysis of stochastic volatility models
• Bayesian analysis of stochastic volatility models
• scientific article; zbMATH DE number 7387555
• Multivariate stochastic volatility with Bayesian dynamic linear models
• Bayesian analysis of stochastic volatility models with mixture-of-normal distributions
• Classical and Bayesian Analysis of Univariate and Multivariate Stochastic Volatility Models
• Bayesian analysis of spherically parameterized dynamic multivariate stochastic volatility models

zbMATH Keywords

Markov chain Monte CarloBayesian analysismachine learningspillover effectGreen stock

Mathematics Subject Classification ID

Learning and adaptive systems in artificial intelligence (68T05) Financial markets (91G15)

Cites Work

• Analysis of Financial Time Series
• Generalized autoregressive conditional heteroscedasticity
• Stochastic volatility with leverage: fast and efficient likelihood inference
• Multivariate Stochastic Volatility: A Review
• An introduction to MCMC for machine learning
• Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison
• Evaluating investors' recognition abilities for risk and profit in online loan markets using nonlinear models and financial big data

Uses Software

• WinBUGS
• FinTS

This page was built for publication: A Bayesian analysis based on multivariate stochastic volatility model: evidence from Green stocks

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2106870)