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

Bayesian VARMarkov chain Monte Carlomodel selectionparticle filter

Mathematics Subject Classification ID

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

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Cited in

(11)

• Sparse Bayesian time-varying covariance estimation in many dimensions
• Matrix exponential stochastic volatility with cross leverage
• Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
• Threshold variable selection of asymmetric stochastic volatility models
• Bayesian variable selection and model averaging in the arbitrage pricing theory model
• Bayesian stochastic search for VAR model restrictions
• A Stochastic Simulation Approach to Model Selection for Stochastic Volatility Models
• 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

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