Bayesian analysis of spherically parameterized dynamic multivariate stochastic volatility models

DOI10.1007/S00180-022-01266-9MaRDI QIDQ6177007zbMATH OpenOpenAlexFDO

Authors Guanyu Hu, Ming-Hui Chen, Nalini Ravishanker

Publication date 29 August 2023

Published in Computational Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00180-022-01266-9

zbMATH Keywords

dynamic correlationMCMCmultivariate L measuretime series

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08)

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Cites work

• A covariance regression model
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• A Predictive Approach to the Analysis of Designed Experiments
• Analysis of Financial Time Series
• Analysis of high dimensional multivariate stochastic volatility models
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Bayesian analysis of multivariate stochastic volatility with skew return distribution
• Bayesian estimation of an autoregressive model using Markov chain Monte Carlo
• Bayesian nonparametric covariance regression
• Covariance regularization by thresholding
• Criterion-based methods for Bayesian model assessment
• Generalized autoregressive conditional heteroscedasticity
• scientific article; zbMATH DE number 720686 (Why is no real title available?)
• Joint mean-covariance models with applications to longitudinal data: unconstrained parameterisation
• Multivariate Stochastic Variance Models
• Multivariate Stochastic Volatility
• Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison
• Particle learning for Bayesian semi-parametric stochastic volatility model
• Sequential Monte Carlo pricing of American-style options under stochastic volatility models
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models

Cited in

(7)

• A Bayesian analysis based on multivariate stochastic volatility model: evidence from Green stocks
• Multivariate stochastic volatility with Bayesian dynamic linear models
• Selection of Multivariate Stochastic Volatility Models via Bayesian Stochastic Search
• Collaborative analysis for energy usage monitoring and management on a large university campus
• Hierarchical modeling of irregularly spaced financial returns
• Robust Bayesian cumulative probit linear mixed models for longitudinal ordinal data
• Hierarchical modeling of multiple synchronized irregularly spaced financial returns

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