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

DOI10.1007/S10878-022-00936-0MaRDI QIDQ2106870zbMATH OpenOpenAlexFDO

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

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)

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Cites work

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

Describes a project that uses

Uses Software

• FinTS
• WinBUGS

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