Selection of Multivariate Stochastic Volatility Models via Bayesian Stochastic Search

DOI10.1198/JBES.2010.08197MaRDI QIDQ3089153zbMATH OpenOpenAlexFDO

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

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)

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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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