Scalable inference for a full multivariate stochastic volatility model

DOI10.1016/j.jeconom.2021.09.013OpenAlexW3208241741MaRDI QIDQ2682962

Anastasios Plataniotis, Petros Dellaportas, Michalis K. Titsias, Katerina Petrova

Publication date: 1 February 2023

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1510.05257

zbMATH Keywords

computational complexityBayesian analysisMCMCgivens anglestime-varying parameter vector autoregressive

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items (1)

Modelling covariance matrices by the trigonometric separation strategy with application to hidden Markov models

Uses Software

• Stan
• bvarsv
• FinTS

Cites Work

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