Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison

Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison

In this paper we show that fully likelihood-based estimation and comparison of multivariate stochastic volatility (SV) models can be easily performed via a freely available Bayesian software called WinBUGS. Moreover, we introduce to the literature several new specifications that are natural extensio...

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書目詳細資料
Main Authors:	YU, Jun, MEYER, Renate
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 2006
主題:	DIC Factors Granger causality in volatility Heavy-tailed distributions MCMC Multivariate stochastic volatility Time-varving correlations Econometrics
在線閱讀:	https://ink.library.smu.edu.sg/soe_research/360 https://ink.library.smu.edu.sg/context/soe_research/article/1359/viewcontent/Multivariate_Stochastic_Volatility_Models_Bayesian_Estimation.pdf
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