Selection of Multivariate Stochastic Volatility Models via Bayesian Stochastic Search

DOI10.1198/JBES.2010.08197zbMATH Open1219.91154OpenAlexW1990038976MaRDI QIDQ3089153FDOQ3089153

Authors: Antonello Loddo, Shawn Ni, Dongchu Sun 

Publication date: 24 August 2011

Published in: Journal of Business and Economic Statistics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10355/10307

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zbMATH Keywords

Markov chain Monte Carlomodel selectionparticle filterBayesian VAR

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Estimation in multivariate analysis (62H12) Statistical methods; risk measures (91G70)

Cited In (11)

• Bayesian stochastic search for VAR model restrictions
• Matrix exponential stochastic volatility with cross leverage
• Skew selection for factor stochastic volatility models
• A Bayesian Markov-Switching Correlation Model for Contagion Analysis on Exchange Rate Markets
• A tractable state-space model for symmetric positive-definite matrices
• Hellinger distance and non-informative priors
• Sparse Bayesian time-varying covariance estimation in many dimensions
• A Stochastic Simulation Approach to Model Selection for Stochastic Volatility Models
• Threshold variable selection of asymmetric stochastic volatility models
• Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
• Bayesian variable selection and model averaging in the arbitrage pricing theory model

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