Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison

DOI10.1080/07474930600713465zbMath1113.62133WikidataQ123417531 ScholiaQ123417531MaRDI QIDQ5485109

Jun Yu, Renate Meyer

Publication date: 28 August 2006

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://ink.library.smu.edu.sg/soe_research/819

zbMATH Keywords

heavy-tailed distributions; factors; MCMC; DIC; time-varying correlations; multivariate stochastic volatility; Granger causality in volatility

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

62F15: Bayesian inference

Related Items

Bayesian estimation and comparison of MGARCH and MSV models via WinBUGS, Multivariate Stochastic Volatility: A Review, Multivariate Stochastic Volatility Models with Correlated Errors, Monte Carlo Likelihood Estimation for Three Multivariate Stochastic Volatility Models, Efficient Bayesian inference for stochastic time-varying copula models, The Bickel-Rosenblatt test for continuous time stochastic volatility models, Bayesian analysis of structural credit risk models with microstructure noises, A multivariate threshold stochastic volatility model, On asymmetric generalised t stochastic volatility models, Tails of correlation mixtures of elliptical copulas, Multivariate stochastic volatility with Bayesian dynamic linear models, Multi-variate stochastic volatility modelling using Wishart autoregressive processes, A Stochastic Simulation Approach to Model Selection for Stochastic Volatility Models, Simulation-Based Estimation Methods for Financial Time Series Models

Uses Software

• WinBUGS
• BUGS
• FinTS

Cites Work

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